*! version 1.0.0 18may2026
help multicoint_sim (part of multicoint)

Title

multicoint_sim -- Simulate a multicointegrated time-series DGP

Package

This command is part of the multicoint library
(main, multicoint_graph,
multicoint_cv).

Syntax

multicoint_sim [, options]

n(#) sample size (default 200)

beta(#) cointegration coefficient on x (default 1)

gamma(#) multicointegration coefficient on Δx (default 1)

alpha(#) intercept

trend(#) linear-trend coefficient (default 0)

sige(#) std-dev of multicoint error (default 1)

sigx(#) std-dev of x innovation (default 1)

sigcoint(#) std-dev of coint error innovation (default 1)

regime(name) multicoint (default), coint, or none

seed(#) random-number seed (default 12345)

clear clear data in memory before simulating

replace replace existing data

Description

multicoint_sim generates T observations from a bivariate
multicointegrated DGP that matches the Granger-Lee (1989, 1990) inventory
example. Three regimes are supported.

regime(multicoint) (default)

y_t and x_t are I(1) flows, cointegrated at the first level, and their
cumulated sums Y_t, X_t admit a second long-run relationship
Y_t = α + β X_t + γ x_t + e_t with e_t ∼ I(0).

regime(coint)

y_t and x_t are I(1) and cointegrated only at the first level; there is
no multicointegration channel.

regime(none)

y_t and x_t are independent random walks.

Variables created: y x Y X mc_resid t. The data are time-set on
t, ready for use with multicoint.

Examples

1. Default multicoint DGP, sample of 200

multicoint_sim, clear

multicoint y x, est(taols) test(all)

2. No multicointegration (regime=coint) - tests should not reject

multicoint_sim, regime(coint) n(300) clear

multicoint y x, est(fmols) test(all)

3. No relationship at all

multicoint_sim, regime(none) clear

multicoint y x, est(ols) test(all)

Author

Dr Merwan Roudane,
merwanroudane920@gmail.com.

Also see

Online: multicoint, multicoint_graph, multicoint_cv