On Fri, 2 Dec 2016, Artur T. wrote:
> Dear all,
>
> I experimenting a bit with simulating dynamic ARDL models. I've got
> three questions:
[...]
filter() only takes a scalar for pre-sample values. If you want to
simulate an AR(p) with p>1 and p initial values fixed, I guess your best
bet is to re-cast the model as a VAR(1) in companion form and then use
varsimul(), as in
<hansl>
clear
set echo off
set messages off
open denmark.gdt -q
set seed 1234
series Y = LRY
list lD = const # time
scalar nD = nelem(lD)
scalar p = 4
ols Y lD Y(-1 to -p)
matrix ARbeta = $coeff[(1+nD):]
matrix mu = $coeff[1:nD]
series m = lincomb(lD, mu)
matrix A = ARbeta' | (I(p-1) ~ 0)
matrix y0 = mreverse({Y}[1:p])'
matrix U = {resample($uhat) + m} ~ zeros($T, p-1)
matrix S = varsimul(A, U, y0)
series ysim = S[,1]
gnuplot Y ysim --with-lines --time-series --output=display
</hansl>
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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