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From |
"Nick Winter" <nwinter@policystudies.com> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Fri, 21 Feb 2003 12:29:48 -0500 |

How about something like: . set obs 100000 . gen t1=invnorm(uniform()) . gen t2=.4*t1+invnorm(uniform()) . gen t3=.4*t2+invnorm(uniform()) . gen t4=.4*t3+invnorm(uniform()) . ... You would have to play with the multiplier, but that will give you a lag structure with diminishing correlation, I think. --Nick Winter ----------------------------------------------------------- Nicholas Winter, Ph.D. P 202.939.5343 Policy Studies Associates F 202.939.5732 1718 Connecticut Avenue, NW nwinter@policystudies.com Washington, DC 20009-1148 www.policystudies.com ----------------------------------------------------------- > -----Original Message----- > From: David Airey [mailto:david.airey@Vanderbilt.Edu] > Sent: Friday, February 21, 2003 12:13 PM > To: statalist@hsphsun2.harvard.edu > Subject: st: re: how do I generate fake time series data? > > > 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 > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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