*! version 1.0.0 21may2026
help mixi12_sim (Stata)

Title

mixi12_sim -- Simulate I(1), I(2) and Kurita-style monetary
data-generating processes

Syntax

mixi12_sim , [options]

dgp(name) i1, i2, km (Kurita money multiplier)

n(#) sample length (default 200)

p(#) dimension for i1/i2 DGPs (default 6)

rho1(#) near-I(2) coefficient (default 0)

omega(#) equilibrium-error coefficient in I(2) DGP (default 0)

seed(#) random seed

clear allow overwriting data in memory

Description

- dgp(i1) - Formula I(1) DGP of Doornik-Mosconi-Paruolo (2017):
half the variables are random walks (with optional AR(2) persistence via
rho1), the other half are stationary AR(1).

- dgp(i2) - Formula I(2) DGP: three blocks of variables, where the
first block is a pure cumulated random walk (I(2)), the second is a near
random walk (I(1) or near-I(2) when rho1=0.9) and the third is the
polynomial-cointegrated block governed by omega.

- dgp(km) - Kurita / monetary multiplier DGP: m2, mb share an I(2)
trend; p has its own I(2) trend; rd is I(1). Use this DGP to exercise
mixi12_johansen and mixi12_trans in a known-truth
setting.

Examples

1. Doornik-Mosconi-Paruolo I(2) circuit

mixi12_sim, dgp(i2) n(500) p(6) rho1(0.9) omega(0.5) seed(11) clear

2. Kurita monetary DGP

mixi12_sim, dgp(km) n(160) seed(42) clear

Author

Dr Merwan Roudane,
merwanroudane920@gmail.com.

Package

Master: mixi12.
Companions: mixi12_unit, mixi12_haldrup,
mixi12_johansen, mixi12_trans, mixi12_sw,
mixi12_graph, mixi12_cv.