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Posted: **Fri Jul 01, 2016 6:02 am**

Hey all,

my problem is the following one: I want to create a Monte Carlo Simulation with generating two different time series of a AR(1)-Process. Therefore, I generate two independet times series with different white noise processes (different standard deviations). Subsequently, the one lagged values of both times series will be regressed on the endogeneous variable of the first time series. The crucial point is then to find out how many of the 1000 t-statistics of the lagged value from the other time series are significant on the 5%-level.
This is my program code:

Code: Select all

!length = 480

!sample = 400


wfcreate HP u 1 !length

!mcmax = 1000


for !phi1 = 0.1 to 1 step 0.1
  for !phi2 = 0.1 to 1 step 0.1


!phi110 = 10*!phi1
!phi210 = 10*!phi2

vector(!mcmax) tstat_0!phi110_0!phi210
vector(!mcmax) pwerte_0!phi110_0!phi210


for !i = 1 to !mcmax


smpl 1 1
 
genr y1 = 0
genr y2 = 0


smpl 2 !length 

genr epsilon = @nrnd*0.0375
genr psi = @nrnd*0.15
genr y1 = !phi1*y1(-1)+epsilon
genr y2 = !phi2*y2(-1)+psi

smpl !lentgh-!sample+1 !length

'Estimation
equation hptest.ls y1 y1(-1) y2(-1)
tstat_0!phi110(!i)_0!phi210(!i) = hptest.@tstat(2)
pwerte_0!phi110(!i)_0!phi210(!i) = hptest.@pval(2)
next
next
next

Running that, i get the following error message: TSTAT_0!PHI110_01 is an illegal or reserved name in
"VECTOR(1000) TSTAT_0!PHI110_01".

Could you give me an indication why it doesn’t work?
Thank you in advance for your efforts.

Posted: **Fri Jul 01, 2016 8:18 am**

Object names cannot have periods in them.

Posted: **Wed Jul 06, 2016 2:12 am**

Thank you, now it works with this code:

Code: Select all

!length = 480

!sample = 400


wfcreate HP u 1 !length

!mcmax = 1000




for !phi1 = 0 to 1 step 0.1
  for !phi2 = 0 to 1 step 0.1


!phi110 = 10*!phi1
!phi210 = 10*!phi2

matrix (!mcmax) tstat_0!phi110!phi210
matrix (!mcmax) pwerte_0!phi110!phi210


for !i = 1 to !mcmax
'Beginn der MC-Simulation

smpl 1 1
 
genr y1 = 0
genr y2 = 0


smpl 2 !length 

genr epsilon = @nrnd*0.0375
genr psi = @nrnd*0.15
 y1 = !phi1*y1(-1)+epsilon
 y2 = !phi2*y2(-1)+psi


smpl !length - !sample + 1 !length


'Schätzung 
equation hptest.ls y1 y1(-1) y2(-1)
tstat_0!phi110!phi210(!i) = hptest.@tstat(2)
pwerte_0!phi110!phi210(!i) = hptest.@pval(2)


next
next
next

But has anyone an idea, how I could count the significant p-values with a loop?

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