On 02-02-2010, at 20:25, Summers, Peter wrote:
 Hi folks,
  
 The following has me at a complete loss.
  
 \begin{script}
 n = 25; # sample size
 nreps = 1; # number of replications
  
 beta1 = 1;
 beta2 = 0.8; # true values of parameters
  
 b1 = 0;
 b2 = 0;
  
 nulldata n
   
This nulldata nulls your data. So now nreps is no longer exists.
The nulldata should be placed at the top of the script.
 loop ii=1..nreps
     # simulate data
     series y = zeros(n,1)
     series u = normal()
  
     #y[1] = beta1 + u[1]
  
     loop jj=2..n --quiet
         y[jj] = beta1 + beta2[jj-1] + u[jj] 
This does not agree with your specification above and will give an  error since you are
indexing a scalar.
I think this should be:         
 y[jj] = beta1 + beta2 + u[jj]
See attached corrected script.
Berend