I am using program in Stata 15.1
I need to generate 10000 pairs of Gaussian AR(1) variables
yt = 0.15yt-1 + e1t, t = 2,..., 50,
xt = 0.25xt-1 + e2t, t = 2,..., 50,
with y1=e11 and x1=e21. et=(e1t e2t)' is mean zero. E(et et')=[1 0.27\0.27 1].
I need to report the two sample means and the two sample variances of the 10000 pairs of sample means
of the generated yt and xt.
My codes are below:
program ex, rclass
clear
matrix sigma=[1, 0.27\0.27, 1]
matrix m=(0,0)
drawnorm e1 e2, n(100) means(m) cov(sigma)
qui gen t=_n
qui gen y=.
qui tsset t
qui replace y=e1 if t==1
qui replace y=0.15*l.y+e1 if t>1
qui gen x=.
qui replace x=e2 if t==1
qui replace x=0.25*l.x+e2 if t>1
sum y
return scalar meany=r(mean)
sum x
return scalar meanx=r(mean)
end
clear
When I run the program, the result is:
no variables defined
Could you please help me?
Thank you very much!
Best,
Cherry
I need to generate 10000 pairs of Gaussian AR(1) variables
yt = 0.15yt-1 + e1t, t = 2,..., 50,
xt = 0.25xt-1 + e2t, t = 2,..., 50,
with y1=e11 and x1=e21. et=(e1t e2t)' is mean zero. E(et et')=[1 0.27\0.27 1].
I need to report the two sample means and the two sample variances of the 10000 pairs of sample means
of the generated yt and xt.
My codes are below:
program ex, rclass
clear
matrix sigma=[1, 0.27\0.27, 1]
matrix m=(0,0)
drawnorm e1 e2, n(100) means(m) cov(sigma)
qui gen t=_n
qui gen y=.
qui tsset t
qui replace y=e1 if t==1
qui replace y=0.15*l.y+e1 if t>1
qui gen x=.
qui replace x=e2 if t==1
qui replace x=0.25*l.x+e2 if t>1
sum y
return scalar meany=r(mean)
sum x
return scalar meanx=r(mean)
end
clear
When I run the program, the result is:
no variables defined
Could you please help me?
Thank you very much!
Best,
Cherry
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