Ar coefficient greater than 1

1. Can a AR coefficient be greater than 1?
2. What does AR of 1 mean?
3. What does the AR coefficient mean?
4. How do you interpret autoregressive model results?

Can a AR coefficient be greater than 1?

Autoregressive parameters can be greater than 1 but sometimes there are constraints on the coefficients when stationarity is required or if the process should not be explosive.

What does AR of 1 mean?

Understanding Autoregressive Models

An AR(1) autoregressive process is one in which the current value is based on the immediately preceding value, while an AR(2) process is one in which the current value is based on the previous two values.

What does the AR coefficient mean?

An Autoregressive (AR) Process Remembers Where It Was

The model for an autoregressive process says that at time t the data value, Y_t, consists of a constant, δ (delta), plus an autoregressive coefficient, φ (phi), times the previous data value, Y_t−1, plus random noise, ε_t.

How do you interpret autoregressive model results?

You can interpret it as the part of the previous value which remains in the future. It's good to note that these coefficients should always be between -1 and 1. Let me explain why. If the absolute value of the coefficient is greater than 1, then over time, it would blow up immeasurably.