F freegg New member Joined Jun 18, 2026 Messages 0 Reaction score 0 Apr 5, 2015 #1 For AR(1) model, it is b0/(1-b1). What is it for higher order AR models?
S S2000magician New member Joined Jun 18, 2026 Messages 0 Reaction score 0 Apr 5, 2015 #2 b0 / (1 − b1 − b2 − … − bn)
F freegg New member Joined Jun 18, 2026 Messages 0 Reaction score 0 Apr 6, 2015 Thread starter #3 super, thanks!
S S2000magician New member Joined Jun 18, 2026 Messages 0 Reaction score 0 Apr 6, 2015 #4 My pleasure. Note that for there to be a mean reverting level, all of the slopes must be between −1 and +1, and their sum must be between −1 and +1.
My pleasure. Note that for there to be a mean reverting level, all of the slopes must be between −1 and +1, and their sum must be between −1 and +1.