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From |
"Michael Blasnik" <michael.blasnik@verizon.net> |

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

Subject |
st: Re: AR1 |

Date |
Mon, 03 Oct 2005 08:31:40 -0400 |

----- Original Message ----- From: "Dirk Nachbar" <Dirk.Nachbar@dwp.gsi.gov.uk>

To: "statalist" <statalist@hsphsun2.harvard.edu>

Sent: Monday, October 03, 2005 4:43 AM

Subject: st: AR1

Dear all1) It's not very helpful to say "but it doesn't work" -- if you want help you should say why it doesn't work -- did Stata give you an error? Were the results not what you expected? For the code you list, I'd guess the problem may be that `obs' is never defined as a local macro, so it is blank. The set obs command does not create a macro called obs.

I am trying to simulate an AR(1) process but it proves to be hard in Stata. My

idea was to declare a matrix and then do it in a loop, but it doesn't work.

Maybe someone can help.

Dirk

------------------

clear

set matsize 800

set obs 700

gen time=_n

tsset time

gen y=invnorm(uniform())

mkmat y

local i = 1

while `i' < `obs' {

matrix y[i+1,1]=1+0.5*y[i,1] +invnorm(uniform())

local i = `i' + 1

}

svmat y

arima y, arima(1,0,0)

---------------------------------------------------

Dirk Nachbar

2) You say that simulating AR(1) "proves to be hard in Stata". I'd say the correct sentence is "proves to be hard for me". Why do you create a variable, turn it into a matrix, use a loop to alter the matrix, and then turn the result back into a variable. All of this can be done just using a variable and save you many steps, avoid looping, and avoid matrix size constraints.

set obs 700

gen time=_n

gen y=invnorm(uniform())

replace y=1+0.5*y[_n-1] +invnorm(uniform()) in 2/l

tsset time

You may want to set seed at the beginning to have replicable results. Also, I left your formula as is, but I'm not sure you really want the first value to be smaller than the others (you might want to drop the 1+ at the beginning and multiply the random term by 0.5?)

Michael Blasnik

michael.blasnik@verizon.net

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**Follow-Ups**:**st: nocons and Arellano-Bond test in xtabond2 command***From:*"V. Sarafidis" <vs242@cam.ac.uk>

**References**:**st: AR1***From:*Dirk Nachbar <Dirk.Nachbar@dwp.gsi.gov.uk>

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