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st: Program to simulate AR(1) time series and return autocorrelations
From
brandon lebeau <[email protected]>
To
[email protected]
Subject
st: Program to simulate AR(1) time series and return autocorrelations
Date
Fri, 24 Feb 2012 13:02:38 -0600
I am attempting to write a program that simulates an AR(1) time series
using the sim_arma command
and computes autocorrelations with the corrgram function. I'm having
difficulties accessing the stored
results from the corrgram function, specifically the matrix r(AC).I
have also tried just accessing r(ac1),
r(ac2), etc. and that works, but does not work when I try to use the
simulate command.
Here is my program so far:
program define simarmaT, rclass
sim_arma simy, nobs(20) arcoef(.45) time(time) spin(2000)
tsset time
corrgram simy, lags(13) noplot
return matrix autoC = r(AC)
end
Then I'd like to use the simulate function to replicate this about
10,000 times.
Here is a version of my simulate command:
simulate autoC = r(AC), reps(20): simarmaT
I'm hoping their is a simple solution to this as I'm a new user to
Stata, I primarily use R,
but need to replicate my simulation done in R with another program.
Cheers
Brandon
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