Can anyone share some insight into simulating a random walk process with distribution properties similar to the observed distribution of a time series variable?
Context: I have tested several ARMA(p,q) and GARCH specifications on a series of monthly price data and want to compare the output against a random walk process that has a behavior similar to the observed series.
Thanks,
NC
:eviews6:
Simulating Random Walk / White Noise Processes
Moderators: EViews Gareth, EViews Steve, EViews Moderator, EViews Jason
-
- Non-normality and collinearity are NOT problems!
- Posts: 3779
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Simulating Random Walk / White Noise Processes
if the observed series is X, use the commandsCan anyone share some insight into simulating a random walk process with distribution properties similar to the observed distribution of a time series variable?
Context: I have tested several ARMA(p,q) and GARCH specifications on a series of monthly price data and want to compare the output against a random walk process that has a behavior similar to the observed series.
Thanks,
NC
:eviews6:
Code: Select all
smpl @all
series simx = 0
smpl 2 @last
simx = @mean(d(x),"@all") + simx(-1) + @stddev(d(x),"@all")*nrnd
Who is online
Users browsing this forum: Bing [Bot] and 1 guest