41 lines
1.1 KiB
Matlab
41 lines
1.1 KiB
Matlab
function acf = dyn_autocorr(y, ar)
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% function acf = dyn_autocorr(y, ar)
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% autocorrelation function of y
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%
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% INPUTS
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% y: time series
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% ar: # of lags
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%
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% OUTPUTS
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% acf: autocorrelation for lags 1 to ar
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2015-16 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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y=y(:);
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acf = NaN(ar+1,1);
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acf(1)=1;
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m = mean(y);
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sd = std(y,1);
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for i=1:ar
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acf(i+1) = (y(i+1:end)-m)'*(y(1:end-i)-m)./((size(y,1))*sd^2);
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end
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