Patrice Yee Chong San
> Does anyone have any idea on how to do the following in Stata?
>
> I wish to generate a series of NT observations for variable
> X for an
> artificial panel data generating process where
> i = 1,...,N = 50
> t =1,..., T = 10
>
> X_i,t = 0.1*t + 0.5*X_i,t-1
>
> The initial values are X_i,0 = 5 + 10w_i,0
>
> where w_i,t ~N(0,1)
> _it denote subscript of the individual i at time t.
>
> The above was taken from Baltagi(1981)
Try
set obs 550
egen panel = seq(), b(50)
egen time = seq(), from(0) to(10)
tsset panel time
gen X = 5 + invnorm(uniform())
replace X = 0.1 * time + 0.5 * L.X if time > 0
drop if time == 0
Nick
[email protected]
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