[Gretl-users] Re: How to efficiently simulate a lot of autoregressive panel data for testing purpose?
On Wed, 21 Oct 2020, Fred Engst wrote:
Hi all,
I need an efficient means to simulate a lot of autoregressive panel data, but have not
been able to do it without a lot of trouble.
Does this help?
<hansl>
nulldata 360
setobs 12 1:1 --stacked-time-series
series x = normal()
series y = 10
y = 1 + 0.9 * y(-1) + x - 0.9*x(-1) + normal()
dpanel 1 ; y const x x(-1) --system
</hansl>
-------------------------------------------------------
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
-------------------------------------------------------