'Generates an AR(1) series with various values of rho 'Use with the usuk.wf 'smpl 1 1 'genr x=0 'smpl 2 200 'series x=0.5*x(-1)+NRND 'nrnd=normal random variable with 0 mean and SD of 0.36 'smpl 1 1 'genr xa=0 'smpl 2 200 'series xa=-0.5*xa(-1)+NRND 'smpl 1 1 'genr y=0 'smpl 2 200 'series y=0.8*y(-1)+NRND 'smpl 1 1 'genr ya=0 'smpl 2 200 'series ya=-0.8*ya(-1)+NRND 'smpl 1 1 'genr w=0 'smpl 2 200 'series w=w(-1)+NRND '********************** 'generates a MA(1,1) series with rho=0.5 and theta=0.4 'smpl 1 1 'genr x=0 'smpl 1 200 'genr u=NRND 'smpl 2 200 'series y=0.5*x(-1)+u+0.4*u(-1) 'plot x y 'prog for Fig 2.3 'smpl 1 1 'genr x1=0 'genr x2=0 'genr x3=0 'smpl 2 200 'series x1=0.6*x1(-1)+NRND 'series x2=0.8*x2(-1)+NRND 'series x3=1*x3(-1)+NRND 'plot x1 x2 x3 '************************************************* 'generates an ARMA(1,1) series with rho=0.7 and theta=0.4 and an AR(1) series with rho=0.7. Corresponds to Table 2. smpl 1 1 genr zarma=0 genr zar=0 smpl 1 200 genr u=NRND smpl 2 200 series zarma=0.7*x(-1)+u+0.4*u(-1) series zar=0.7*x*(-1) 'plot zarma zar zarma.correl(36) zar.correl(36)