Re: [Gretl-users] monte carlo simulation
Lars Pålsson-Syll schrieb:
Hi,
Trying to replicate a Monte Carlo simulation in Hill/Griffiths/LIm "Principles of
econometrics" (3rd ed, p 273)
I run in to problem when in my script trying to incorporate that the population
correlation between the x-values and
the error-values should be 0.6. Could anyone help me?
Best regards,
Lars
If your question is how to produce (pseudo-) random series with the
needed correlation structure, then create two independent series and
multiply that vector (actually 2-col data matrix) with an appropriate
matrix (cholesky factor of the wanted covariance matrix).
good luck,
sven