Granger and Newbold Monte Carlo Simulation
Posted: Tue Apr 15, 2014 5:13 am
Hi,
I am new to Eviews programming. I would like to replicate Granger and Newbold's Monte Carlo simulation for their paper on spurious regression. I wonder how this can be done in Eviews. This is what I have done so far for one replicationL
smpl @first @first
series y=0
series x=0
smpl @first+1 @last
series y = y(-1)+nrnd
series x= x(-1)+nrnd
ls y c x
How do I work in the replications and loop for 100 replications? Also, how do I collect the beta-coefficient estimates for all replications and the t-stats for all replications to plot the histograms? I would be most grateful for your advice and guidance.
Thanks in advance and have a nice day.
Al
I am new to Eviews programming. I would like to replicate Granger and Newbold's Monte Carlo simulation for their paper on spurious regression. I wonder how this can be done in Eviews. This is what I have done so far for one replicationL
smpl @first @first
series y=0
series x=0
smpl @first+1 @last
series y = y(-1)+nrnd
series x= x(-1)+nrnd
ls y c x
How do I work in the replications and loop for 100 replications? Also, how do I collect the beta-coefficient estimates for all replications and the t-stats for all replications to plot the histograms? I would be most grateful for your advice and guidance.
Thanks in advance and have a nice day.
Al