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st: RE: Re: Stata Code for arma processes
. net from http://www.stata.com/users/jpitblado
shows that Jeff Pitblado has a -sim_arma- program.
This was discussed in Stata Journal 4(2): 180-189
(2004) by Allen McDowell.
> I would just suggest starting from first principles, as one would in
> performing a Monte Carlo experiment, and writing the data generating
> process. E.g. for an AR(2) model, one can just do
> set obs 1000
> g t = _n
> tsset t
> * AR(2)
> g eps1 = invnorm(uniform())
> scalar theta0= 100
> scalar theta1= 0.6
> scalar theta2= -0.3
> g double ar2 = 0
> qui replace ar2 in 3/l = theta0 + theta1*L.ar2 + theta2*L2.ar2 + eps1
> * should reproduce the parameters of the model (arima not needed for
> pure AR)
> reg ar2 L(1/2).ar2
> Any ARMA DGP can be set up this way. ARCH is a bit trickier,
> but can be
> done in a similar fashion.
> > Do you have or know of STATA codes that generate data for an AR(2),
> > MA(2), ARMA (2,2) and ARCH processes. I want to have my students
> > generate data of this type and then have them estimate
> various models
> > using these data process. I want to thank you in advance
> for your help in this regard.
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