Computing Autocorrelation Coefficients by Simulation Gauss file(s) sim_accuracy.g Matlab file(s) sim_accuracy.m Consider the AR(1) model yt = ut ut1 , ut iid N(0,

Computing Autocorrelation Coefficients by Simulation Gauss file(s) sim_accuracy.g Matlab file(s) sim_accuracy.m Consider the AR(1) model yt = ut − θut−1 , ut ∼ iid N(0, 1), where θ0 = 0.5.

(a) Compute the true AR(1) parameter ρ0.

(b) Simulate the AR(1) model and compute the first-order autocorrelation coefficient using the simulated data for simulated series of length S = T × K, with T = 250 and K = {1, 2, 3, 4, 5, 10, 100}. Compare the results with the theoretical autocorrelation parameter and hence reproduce Table 12.1.

(c) Repeat part

(b) for θ = 0.8 and θ = −0.5.