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st: RE: Re: Stata Code for arma processes


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: Stata Code for arma processes
Date   Mon, 16 Aug 2004 15:37:25 +0100

. 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.

Nick 
n.j.cox@durham.ac.uk 

Kit Baum
 
> 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
> 
> clear
> 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
> su
> * 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.
> 
Ozuna, Teofilo

> > 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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