' Generate the following Time Series Models: ' 1.- white noise ' 2.- AR(1) ; AR(2) ' 3.- Random Walk ' 4.- MA(1) ; MA(2) ' 5.- ARMA(1,1) ' 6.- ARMA(2,2) create u 1 200 '------------------------------------------------------------------------------------------------------------- ' White Noise '------------------------------------------------------------------------------------------------------------- series WN_u = rnd ' WN_u is U(0,1) series WN_n = nrnd ' WN_ n is N(0,1) series WN_n_2_3 = 2 + @sqr(3)*nrnd ' WN_n_2_3 is N(2,3) '------------------------------------------------------------------------------------------------------------- ' AR '------------------------------------------------------------------------------------------------------------- ' AR(1) smpl @first @first series ar1_1 = 0 series ar1_2 = 0 smpl @first+1 @last series ar1_1 = 0.5*ar1_1(-1)+ nrnd series ar1_2 = 0.5*ar1_2(-1)+ nrnd ' AR(2) smpl @first @first+1 series ar2 = 0 smpl @first+2 @last series ar2 = 0.2*ar2(-1)+0.5*ar2(-2)+nrnd '------------------------------------------------------------------------------------------------------------- ' random walk '------------------------------------------------------------------------------------------------------------- smpl @first @first series rw = 0 smpl @first+1 @last series rw = rw(-1) + nrnd '------------------------------------------------------------------------------------------------------------- ' MA '------------------------------------------------------------------------------------------------------------ smpl @first @last series u = 10 + @sqr(3)*nrnd 'N(0, 3) series ma1 = u + 0.5*u(-1) series ma2 = u + 0.5*u(-1) - 0.9*u(-2) '----------------------------------------------------------------------------------------------------------- ' ARMA(1,1) '----------------------------------------------------------------------------------------------------------- smpl @first @last series u2 = nrnd series ma11 = u2 + 0.5*u2(-1) smpl @first @first series arma1_1 = 0 smpl @first+1 @last series arma1_1 = 0.5*arma1_1(-1) + ma11 smpl @first @last '----------------------------------------------------------------------------------------------------------- ' ARMA(2,2) '----------------------------------------------------------------------------------------------------------- series u3 = nrnd series ma22 = u3 + 0.5*u3(-1) + 0.4*u3(-1) smpl @first @first+1 series arma2_2 = 0 smpl @first+2 @last series arma2_2 = 0.5*arma2_2(-1) + 0.2*arma2_2(-2)+ ma22 smpl @first @last