If your problem is to generate simulated data from
AR(1) processes, there are already some resources
in the web doing that:
1) Jeff Pitblado's (StataCorp) code -sim_arma-
(-findit sim_arma-)
2) My code -xtarsim- downloadable
from the SSC archive via
ssc install xtarsim
3) My SUGUK05 presentation (where
some hints are provided on the
generation of AR simulated data in Stata)
http://ideas.repec.org/p/boc/usug05/06.html
Giovanni
Scrive Dirk Nachbar <[email protected]>:
> 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
> 020 796 22705
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--
Giovanni S.F. Bruno
http://ideas.repec.org/e/pbr136.html
Istituto di Economia Politica, Universit� Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
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