st: AR1

[Dirk Nachbar <Dirk.Nachbar@dwp.gsi.gov.uk>]

Dear all

I am trying to simulate an AR(1) process but it proves to be hard in Stata. My idea was to declare a matrix and then do it in a loop, but it doesn't work. Maybe someone can help.

Dirk

------------------

clear

set matsize 800

set obs 700

gen time=_n

tsset time

gen y=invnorm(uniform())

mkmat y

local i = 1

while `i' < `obs' {

    matrix y[i+1,1]=1+0.5*y[i,1] +invnorm(uniform())

local i = `i' + 1

}

svmat y

arima y, arima(1,0,0)

---------------------------------------------------

Dirk Nachbar

Assistant Economist

Pensim2

Department for Work and Pensions

Level 4, The Adelphi

1-11 John Adam St

WC2N 6HT London