Myujth

I need help with R programming.

Simulate 100 AR(2) time series with sample size n= 50 and e_t ~ N(0,1).

Model: y_t= 0.1*y_t-1 + 0.5*y_t-2 + e_t

My question is out of 100 how many models will follow AR(2).

I have posted the code for 10 simulation (for practice). From the output, it is clearly seen that 7 out of 10 follow AR(2). I need the codes to calculate that for me because I want the number of simulation to be 100.

Thank you in advance.

R codes:

 library(FitAR)
 set.seed(54321)
 n=50
 phi <- c(0.1,0.5)
 for(i in 1:10)
 yt <- unclass(arima.sim(n=n,list(ar=phi),innov=rnorm(n,0,1)))
 p=SelectModel(as.ts(yt), lag.max = 20, Criterion = "BIC", Best=1)
 fit.monthly <- arima(yt, order = c(p, 0, 0))
 my_coefficients =fit.monthly$coef
 my_coefficients=my_coefficients[!names(my_coefficients) == 'intercept']
 print(my_coefficients)

Output:

 ar1 ar2 
 0.07786595 0.53429714 
 ar1 ar2 
 0.07786595 0.53429714 
 ar1 ar2 
 0.07786595 0.53429714 
 ar1 ar2 ar3 ar4 
 0.1324752 0.6986000 -0.1366014 -0.2661816 
 ar1 ar2 ar3 
 0.1762949 0.5444131 -0.1720464 
 ar1 ar2 
 0.07786595 0.53429714 
 ar1 ar2 ar3 
 0.1762949 0.5444131 -0.1720464 
 ar1 ar2 
 0.07786595 0.53429714 
 ar1 ar2 
 0.07786595 0.53429714 
 ar1 ar2 
 0.07786595 0.53429714 

library(FitAR)
set.seed(54321)
n=50
phi <- c(0.1,0.5)

count <- 0

for(i in 1:100)
 yt <- unclass(arima.sim(n=n,list(ar=phi),innov=rnorm(n,0,1)))
 p=SelectModel(as.ts(yt), lag.max = 20, Criterion = "BIC", Best=1)
 fit.monthly <- arima(yt, order = c(p, 0, 0))
 my_coefficients =fit.monthly$coef
 my_coefficients=my_coefficients[!names(my_coefficients) == 'intercept']
 print(my_coefficients)

 if(length(my_coefficients) == 2)
 count <- count + 1
 


print(paste0("AR(2) model count is: ", count))