On Sun, 30 Mar 2014, Artur T. wrote:
Thank you both Jack and Hélio for your suggestions! Both example work
well.
Jack's nice version is about 10% less time consuming than my original
example (at least in my procedure here).
The "varsimul" function is especially useful when generating multivariate
stuff. You may also want to have a look at the "filter" function. As long
as what you need is univariate time series, that's even better, either in
speed and flexibility.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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