spurious regression-an example. data generation process new; format /m1 /rd 9,3; apha=3; beta=1;...
Post on 22-Dec-2015
218 views
TRANSCRIPT
Spurious Regression-An Example
Data Generation Process• new;• format /m1 /rd 9,3;• apha=3; beta=1;• T=100;
• Y=zeros(T,1);• X=zeros(T,1);• e1=Rndn(T,1);• e2=Rndn(T,1);
• @ Data Generation Process @
• Y[1,1]=0; X[1,1]=0;
• i=2;• do until i>T;
• Y[i,1]=apha+beta*Y[i-1,1]+4*e1[i,1];• X[i,1]=apha+beta*X[i-1,1]+2*e2[i,1];
• i=i+1;• endo;
• Output file=d:\Enclass\Spus\level.out reset;
• Y~X;
• Output off;
• Output file=d:\Enclass\Spus\Diff.out reset;
• (Y[2:100,1]-Y[1:99,1])~(X[2:100,1]-X[1:99,1]);
• Output off;