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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];

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data generation process
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];
slide3
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;