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Hello.

I am trying to draw a converging process of AR1 process as below:
But this graph does not converge to a point. Can you help me about whether this is a mistake or
simply a matter of plotting technique. If you know how to make a converging graph, please let me know!

Thank you!

IH
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wfcreate smpl u 100

smpl @first @first
series y = 0

smpl @first+1 @last

series i=@rnd
series y =0.9*y(-1)+ i

series dy=y-y(-1)

plot y

plot dy

You might need to describe what you think the program is doing before we can judge if it is actually doing it or not.

My guess is that you wanted mean zero errors. The function @rnd (which isn't in the manual but which appears to be equivalent to rnd) generates uniform(0,1) draws.

Thank you for your good comments!

I found that I have to write the solution of differential equation of AR(1) model in order to show a convergence.
It is like, y=o,9^t.