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 [email protected]
Washington, DC 20009-1148 www.policystudies.com
-----------------------------------------------------------
> -----Original Message-----
> From: David Airey [mailto:[email protected]]
> Sent: Friday, February 21, 2003 12:13 PM
> To: [email protected]
> 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/
