[Gretl-users] Re: How to efficiently simulate a lot of autoregressive panel data for testing purpose? (Riccardo (Jack) Lucchetti)
Thanks Jack,
It helps a great deal.
I didn’t realize you can set autoregressive panel the same way you do for time series.
Fred
>
> Date: Wed, 21 Oct 2020 08:56:58 +0200 (CEST)
> From: "Riccardo (Jack) Lucchetti" <p002264(a)staff.univpm.it>
> Subject: [Gretl-users] Re: How to efficiently simulate a lot of
> autoregressive panel data for testing purpose?
> To: Gretl list <gretl-users(a)gretlml.univpm.it>
> Message-ID: <2dcc2e9b-36fe-be92-8043-b7afdcdb694a(a)staff.univpm.it>
> Content-Type: multipart/mixed;
> boundary="-842988409-523125758-1603263419=:122363"
>
> ---842988409-523125758-1603263419=:122363
> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
> Content-Transfer-Encoding: quoted-printable
>
> On Wed, 21 Oct 2020, Fred Engst wrote:
>
>> Hi all,
>> I need an efficient means to simulate a lot of autoregressive panel dat=
> a, 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 =3D normal()
> series y =3D 10
> y =3D 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)
>
> Universit=E0 Politecnica delle Marche
> (formerly known as Universit=E0 di Ancona)
>
> r.lucchetti(a)univpm.it
> http://www2.econ.univpm.it/servizi/hpp/lucchetti
> -------------------------------------------------------
> ---842988409-523125758-1603263419=:122363--
>
> ------------------------------