
Hey.
Looking at EuStockMarkets[1:1860] -- the DAX.
ar() estimates an AR(1) model with \alpha_1 ~= 1 and high \sigma^2.
But forecasting from a given X_t_0 according to an AR(1) model with \alpha_1 = 1 should be X_t_0 for all X_t, t > t_0 ..... ?
How do you do this forecasting in R?
predict(ar(),n.ahead)$pred gives something different ..
Thanks!
Lars
 		 	   		  
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