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       log:  /Users/baum/doc/Courses 2008-2009/EC771 S2009/771irwd.smcl
  log type:  smcl
 opened on:  28 Mar 2009, 10:23:29



. capt prog drop _all



. prog irwd, rclass
  1.         version 10.1
  2.         drop _all
  3.         set obs $N
  4.         g en = _n - $N/2
  5.         g double x = 0 in 1
  6.         g double y = 0 in 1
  7.         replace x = x[_n - 1] + $trcoef * en + rnormal() in 2/l
  8.         replace y = y[_n - 1] + $trcoef * en + rnormal() in 2/l
  9.         reg y x
 10.         return scalar b = _b[x]
 11.         return scalar se = _se[x]
 12.         return scalar t = _b[x]/_se[x]
 13.         return scalar r2 = abs(return(t)) > invttail($N - 2, 0.025)
 14. end



. 
. global N 100



. global nsim 10000



. set seed 1010101



. 
. // consider IRWs with no drift
. global trcoef 0



. simulate birwd=r(b) sirwd=r(se) tirwd=r(t) rejirwd=r(r2), ///
>  reps($nsim) nodots saving(irw0, replace): irwd



      command:  irwd
        birwd:  r(b)
        sirwd:  r(se)
        tirwd:  r(t)
      rejirwd:  r(r2)






. su



    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
       birwd |     10000    .0003267    .6336891  -3.682241   3.301136
       sirwd |     10000     .100645    .0649186   .0116683   .6898782
       tirwd |     10000   -.0225758    7.390102  -34.39042    35.8372
     rejirwd |     10000       .7572    .4287966          0          1



. l in 1/20



     +--------------------------------------------+
     |     birwd      sirwd       tirwd   rejirwd |
     |--------------------------------------------|
  1. |  .4797036   .0366694    13.08186         1 |
  2. | -.3215804    .126415   -2.543845         1 |
  3. |  .5518465   .0509739    10.82607         1 |
  4. | -.9704604   .0774199   -12.53502         1 |
  5. |  .9274789   .0991612    9.353246         1 |
     |--------------------------------------------|
  6. | -.7858061   .0432042   -18.18819         1 |
  7. | -.5938631   .0538909   -11.01972         1 |
  8. |  .6821204   .1127544    6.049611         1 |
  9. |  .5334677   .0528825     10.0878         1 |
 10. |  .0958101   .0618102    1.550069         0 |
     |--------------------------------------------|
 11. | -.3524039   .0844574   -4.172564         1 |
 12. |   .251032   .1512837    1.659346         0 |
 13. |  .8574678   .1752042    4.894105         1 |
 14. | -.3218689   .0791635   -4.065877         1 |
 15. |  .2293266   .0713637     3.21349         1 |
     |--------------------------------------------|
 16. | -.3609286   .1122861   -3.214365         1 |
 17. | -.5108765   .1038393   -4.919877         1 |
 18. | -.0265709   .0448767   -.5920879         0 |
 19. | -1.321453   .0955171   -13.83473         1 |
 20. | -1.061208   .0308577   -34.39042         1 |
     +--------------------------------------------+



. 
. // consider IRWs with drift
. global trcoef 1



. simulate birwd=r(b) sirwd=r(se) tirwd=r(t) rejirwd=r(r2), ///
>  reps($nsim) nodots saving(irw1, replace): irwd



      command:  irwd
        birwd:  r(b)
        sirwd:  r(se)
        tirwd:  r(t)
      rejirwd:  r(r2)
(note: file irw1.dta not found)






. su



    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
       birwd |     10000    1.000051    .0059501   .9779344   1.020759
       sirwd |     10000    .0013194    .0005875   .0004052   .0048519
       tirwd |     10000    898.6508    356.9464   205.0394   2464.296
     rejirwd |     10000           1           0          1          1



. l in 1/20



     +------------------------------------------+
     |    birwd      sirwd      tirwd   rejirwd |
     |------------------------------------------|
  1. | 1.006996   .0006071   1658.826         1 |
  2. | 1.003831   .0017482   574.2126         1 |
  3. | .9950045   .0015522   641.0201         1 |
  4. |  1.00533   .0009019   1114.629         1 |
  5. | 1.004174   .0013782   728.6036         1 |
     |------------------------------------------|
  6. | .9963799   .0016361   609.0062         1 |
  7. |  .991939   .0013959    710.623         1 |
  8. | .9926373    .001226   809.6337         1 |
  9. | .9976078     .00183   545.1342         1 |
 10. | .9944842   .0006148   1617.636         1 |
     |------------------------------------------|
 11. | 1.006605   .0021063   477.9079         1 |
 12. | 1.000501   .0017072   586.0491         1 |
 13. | .9992536   .0008514   1173.694         1 |
 14. | .9968744   .0008095   1231.394         1 |
 15. | .9952904   .0014757   674.4478         1 |
     |------------------------------------------|
 16. | 1.010844   .0019668   513.9488         1 |
 17. | 1.002531   .0007761   1291.714         1 |
 18. | 1.010013   .0018247    553.519         1 |
 19. | 1.000184   .0013261   754.2089         1 |
 20. | 1.002476    .001661   603.5215         1 |
     +------------------------------------------+



. 
. log close
       log:  /Users/baum/doc/Courses 2008-2009/EC771 S2009/771irwd.smcl
  log type:  smcl
 closed on:  28 Mar 2009, 10:25:37
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