simulation

[iloverats]

dear all
how can i generate a series x,which is the granger causality of y?
for example

x=a*x{1}+b*y{1}+et

best

[TomDoan]

dear all
how can i generate a series x,which is the granger causality of y?
for example

x=a*x{1}+b*y{1}+et

best

Something like this. You need a DGP for y as well, which is here an autoregression.

Code: Select all

all 120
set x = 0.0
set y = 0.0
frml xf x = .6*x{1}+.2*y{1}
frml yf y = .0*x{1}+.8*y{1}
group(cv=%identity(2)) twovar xf>>x yf>>y
simulate(model=twovar,from=2,to=120)

Typically, you would discard a certain number of early data points since the pre-sample zeros aren't representative of the process---this generates through 120 so that you can use 21-120 as 100 data points.

[iloverats]

dear all
how can i generate a series x,which is the granger causality of y?
for example

x=a*x{1}+b*y{1}+et

best

Something like this. You need a DGP for y as well, which is here an autoregression.

Code: Select all

all 120
set x = 0.0
set y = 0.0
frml xf x = .6*x{1}+.2*y{1}
frml yf y = .0*x{1}+.8*y{1}
group(cv=%identity(2)) twovar xf>>x yf>>y
simulate(model=twovar,from=2,to=120)

Typically, you would discard a certain number of early data points since the pre-sample zeros aren't representative of the process---this generates through 120 so that you can use 21-120 as 100 data points.

thank you
if i want x and y all have Garch(1,1) effect
how can i modify the code

[TomDoan]

thank you
if i want x and y all have Garch(1,1) effect
how can i modify the code

I've posted code for generating an MV-GARCH process at

http://www.estima.com/forum/viewtopic.php?f=11&t=1024

That would be the error process, so you would need to use FORECAST with the PATHS option, instead of SIMULATE, for putting together your mean model with simulated GARCH errors.

[iloverats]

all 120
set x = 0.0
set y = 0.0
frml xf x = .6*x{1}+.2*y{1}
frml yf y = .0*x{1}+.8*y{1}
group(cv=%identity(2)) twovar xf>>x yf>>y
simulate(model=twovar,from=2,to=120)

the code have no residual Contemporaneou-correlations
if i want residuals are cross Contemporaneou correlated,and the correlation coefficient is 0.8
how can i modify the code

[TomDoan]

The CV option on GROUP is the covariance matrix of the residuals. Make it what you want instead of the identity.

[iloverats]

The CV option on GROUP is the covariance matrix of the residuals. Make it what you want instead of the identity.

Dear
If i want y and x are all nonstationary , how can i set it?

thank you very much

[TomDoan]

The covariance matrix has nothing to do with non-stationarity. You need to pick a set of lag coefficients which will do that. Write down a model in VECM form and solve it out for the original variables.

[iloverats]

The covariance matrix has nothing to do with non-stationarity. You need to pick a set of lag coefficients which will do that. Write down a model in VECM form and solve it out for the original variables.

Dear
May you give me an example?
thank you

[TomDoan]

Engle and Granger(1987) in "Co-Integration and Error Correction", Econometrica, vol 55, no 2 give about six examples of DGP's for non-stationary VAR's.

[iloverats]

Dear sir

May you tell me how can i simulate the series that is AR(2) process and contain the unit root and AR(2) process with a maximum root 0.9
thank you

[TomDoan]

Dear sir

May you tell me how can i simulate the series that is AR(2) process and contain the unit root and AR(2) process with a maximum root 0.9
thank you

No, because neither one of those is a well-defined DGP---you can't give just one root for an AR(2). Write down a full DGP with the properties that you want and convert it to a VAR by substituting out any differences that you used. Once you have that, just replace the definition for the two equations above.

[iloverats]

Dear sir

May you tell me how can i simulate the series that is AR(2) process and contain the unit root and AR(2) process with a maximum root 0.9
thank you

No, because neither one of those is a well-defined DGP---you can't give just one root for an AR(2). Write down a full DGP with the properties that you want and convert it to a VAR by substituting out any differences that you used. Once you have that, just replace the definition for the two equations above.

Dear
I just want simulate the AR(2) model that contains the unit root or has a maximum root 0.9, rather than VAR

may you help me?
thank you very much

[TomDoan]

Dear
I just want simulate the AR(2) model that contains the unit root or has a maximum root 0.9, rather than VAR

may you help me?
thank you very much

Yes, I will help you by making two suggestions.

1. Get a book on time series.
2. READ IT.

You don't understand what you're trying to do well enough to even ask a well-formed question.

[iloverats]

Dear
I just want simulate the AR(2) model that contains the unit root or has a maximum root 0.9, rather than VAR

may you help me?
thank you very much

Yes, I will help you by making two suggestions.

1. Get a book on time series.
2. READ IT.

You don't understand what you're trying to do well enough to even ask a well-formed question.

i still do not know how to do it