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baogorek/non-invertible-ma-process.R

Created June 25, 2019 20:51
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non-invertible-ma-process.R
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non-invertible-ma-process.R
N <- 10000
theta <- 1.4
e <- rnorm(N)
e_lag <- c(NA, e[1:(N-1)])
y <- e - theta * e_lag
acf(y[2:N])
l = 5000 # how far back
y_far_back <- c(rep(NA, l), y[1:(N-l)])
summary(lm(y ~ y_far_back))
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