On Fri, 30 Dec 2016, Mohamed Abdelrahim wrote: Something like this, you mean? <hansl> set echo off set messages off nulldata 100 setobs 1 1 --special-time-series k = 0 n = 128 loop for i=1..n --quiet series y = 0 series e = normal() series y = 0.9 * y(-1) + e + 0.5 * e(-1) # arma(1,1) adf 4 y --quiet printf "$i: %g\n", $pvalue if $pvalue < 0.05 k++ endif endloop printf "\n\nProportion of rejections = %g\n", k/n </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 -------------------------------------------------------