[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,
After I send the email out, I’m figured out one approach is to first
simulate a time series, and then recast it into a panel by using the
setobs command.
That would make the cross-sectional units not independent. As to whether
it consitutes a problem, it depends on the context. I'm not sure what the
requirements are for the Choi meta-tests, for example.
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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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