Hi,
Can someone help me verify that the following code generate a bivariate vector "z" that follows a VAR(2) structure? The first AR matrix is
0.6 0.0
0.0 0.6
and the second AR matrix is
0.18 0.00
0.00 0.18
This vector series also has a linear time trend with coefficient vector, g =
0.3
0.5
Thanks!
Fei
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
PROC IML;
mean_eta = J(1,2,0);
sigma_eta = {1.0 0.5,
0.5 1.0};
eta = randnormal(300,Mean_eta,Sigma_eta);
f ={
0.6 0.0,
0.0 0.6};
g = {0.3, 0.5};
t = T(do(1,300,1));
z = J(300,2,0);
do i = 3 to 300;
z[i,] = T( f*T(z[i-1,]) + 0.3#f*T(z[i-2,]) + g*t ) + eta[i,];
end;
Quit;