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;
Hello -
This might give you some ideas:
Taken from http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_varmax_sect003...:
The following IML procedure statements simulate a bivariate vector time series from this model to provide test data for the VARMAX procedure:
proc iml;
sig = {1.0 0.5, 0.5 1.25};
phi = {1.2 -0.5, 0.6 0.3};
/* simulate the vector time series */
call varmasim(y,phi) sigma = sig n = 100 seed = 34657;
cn = {'y1' 'y2'};
create simul1 from y[colname=cn];
append from y;
quit;
Thanks,
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