*
* MONTEARCH.RPF
* RATS Version 8, User's Guide, Example 16.1
*
compute ndraws=10000,useobs=100,endobs=50+useobs
all endobs
set x 1 endobs = t
*
compute sigma=1.0,alpha  =.20
frml(variance=sigma^2) vdef v = 0.0
frml(identity) udef u = v*sqrt(1+alpha*u{1}^2)
frml(identity) ydef y = 2.0 + 3.0*x + u
group archmod vdef udef ydef>>y
*
set u 1 1 = 0.0
set teststat 1 ndraws = 0.0
do draw=1,ndraws
   simulate(model=archmod) 2 endobs-1 2
   linreg(noprint) y 51 endobs resids
   # constant x
   set usquared 51 endobs = resids^2
   linreg(noprint) usquared 52 endobs
   # constant usquared{1}
   compute teststat(draw)=%trsquared
end do draw
stats(fractiles,nomoments) teststat
*
* Display the .05 rejection levels using the simulated test
* statistics and the asymptotic chi-squared distribution.
*
disp "Simulated .05 Rejection Limit" @35 %fract95
disp "Asymptotic .05 Rejection Limit" @35 %invchisqr(.05,1)