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number of simulated values

Posted: Thu Aug 25, 2011 2:19 am
by lisa
hello,
when I simulate a VAR model
smpl @all
genr u1=0.36*nrnd
genr u2=0.4+0.75*nrnd
smpl @first+1 @last
x=0.5*x(-1)+0.47*z(-1)+u1
z=0.2*x(-1)+0.9*z(-1)+u2
I need 1000 observations, but when I run the model a message appears "oveflow in x=0.5*x(-1)+0.47*z(-1)+u1" and only 200 observations are simulated and the rest are shown as NA.
please how can I obtain the 1000 observations.
NB: the parameters of the normal distribution of u1 and u2 are arbitrary (if it's necessary I can change the mean and the variance of u1 and u2)
thanks.

Re: number of simulated values

Posted: Thu Aug 25, 2011 3:59 am
by trubador
That is because your model is not stationary. Try smaller values for the coefficents. For instance, you can assign a different value (e.g. something smaller than 0.80) to the coefficent of z(-1) in the second equation...