Search found 2 matches
- Tue Aug 10, 2021 12:20 am
- Forum: Estimation
- Topic: How to find critical value of t in the regression of two AR(1) process using Monte Carlo Simulation
- Replies: 4
- Views: 10996
Re: How to find critical value of t in the regression of two AR(1) process using Monte Carlo Simulation
Open up your Y series Series y and x have not imported. I create the start-up of y is 6 and the start-up of x is 4. And my idea is that knowing the start-up, we then calculate the series y = 3 + 2*y(-1)+4*nrnd or the series x =2+1.5*x(-1)+0.5*nrnd. Ater that, series y is regressed on x. I write the...
- Mon Aug 09, 2021 7:28 pm
- Forum: Estimation
- Topic: How to find critical value of t in the regression of two AR(1) process using Monte Carlo Simulation
- Replies: 4
- Views: 10996
How to find critical value of t in the regression of two AR(1) process using Monte Carlo Simulation
Hello, I have two series y,x which follow AR(1) process. The error terms are drawn from a normal distribution. After y is regressed on x, I want to calculate the critical value of t. I provide the code: rndseed 12345 !nrep=1000 smpl @first @last series y series x vector(1000) t y = 6 x=2 for !i=1 to...