Simulating Autocorrelated data via Monte Carlo

[James Dean]

Hello,

I am trying to simulate autocorrelated data with P(x_t = x_t-1) = .5. I was trying to use something similar to the runiform() or rnormal() commands, but they don't allow for autocorrelation. For some reason, sim_arma is also not working for me.

Thanks!

[Joseph Coveney]

I don't know what sim_arma is or why it does not work, but you can use drawnorm with a correlation matrix of your choosing.

[Jesse Wursten]

set obs 20
gen dice = runiform()
gen x = runiform() in 1
replace x = runiform() * (dice < 0.5) + x[_n-1] * (dice > 0.5) in 2/l