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Re: st: AR1


From   Giovanni Bruno <giovanni.bruno@uni-bocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AR1
Date   Mon, 3 Oct 2005 14:35:25 +0200

If your problem is to generate simulated data from
AR(1) processes, there are already some resources 
in the web doing that:

1) Jeff Pitblado's (StataCorp) code -sim_arma- 
(-findit sim_arma-)

2) My code -xtarsim- downloadable
from the SSC archive via

ssc install xtarsim

3) My SUGUK05 presentation (where
some hints are provided on the 
generation of AR simulated data in Stata)

http://ideas.repec.org/p/boc/usug05/06.html

Giovanni



Scrive Dirk Nachbar <Dirk.Nachbar@dwp.gsi.gov.uk>:

> Dear all
> 
> 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
> Assistant Economist
> Pensim2
> Department for Work and Pensions
> Level 4, The Adelphi
> 1-11 John Adam St
> WC2N 6HT London
> 020 796 22705
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-- 
Giovanni S.F. Bruno
http://ideas.repec.org/e/pbr136.html
Istituto di Economia Politica, UniversitÓ Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
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