st: re: how do I generate fake time series data?

[David Airey <david.airey@Vanderbilt.Edu>]

I did not get a response to my question of how one generates fake time 
series data with a particular lag correlation in it.

In Stata, to generate a matrix with a particular correlation structure, 
I can type:

    . mat C = (1, .5 \ .5, 1)
    . corr2data x y, n(2000) corr(C)
    . correlate x y
(obs=2000)

             |        x        y
-------------+------------------
           x |   1.0000
           y |   0.5000   1.0000

I thought time series data with a particular lag meant the correlation 
was essentially diminished or not present beyond that lag, such that:


    t1  t2  t3  t4  t5
t1   1  .7  .2  .1  .0
t2  .7   1  .7  .2  .1
t3  .2  .7   1  .7  .2
t4  .1  .2  .7   1  .7
t5  .0  .1  .2  .7   1

might represent a lag 1 correlation in 5 time points? So I guess I have 
to enter a large matrix statement (100 x 100), if I want, say 100 time 
points, just like above?

Before that, I tried the above matrix by:

. clear

. mat C = (1,  .7,  .2,  .1,  .0 \ ///
>  .7,   1,  .7,  .2,  .1 \ ///
>   .2,  .7,   1,  .7,  .2 \ ///
>   .1,  .2,  .7,   1,  .7  \ ///
>   .0,  .1,  .2,  .7,   1)

. mat list C

symmetric C[5,5]
    c1  c2  c3  c4  c5
r1   1
r2  .7   1
r3  .2  .7   1
r4  .1  .2  .7   1
r5   0  .1  .2  .7   1

. corr2data t1 t2 t3 t4 t5, n(1000) corr(C)
matrix not positive definite
r(506);

What does this mean?

-Dave

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