Time series simulation (Monte Carlo) code

[Juan Michelsen]

Hello!

I'm trying to make a Monte Carlo Simulation with time series and I can't get what I'm doing wrong due to my little knowledge in Stata. With my ARMA model I'm able to generate a time series with 300 observations. My idea is to do this process 1000 times and in every process I want to calculate and save the mean and variance of the 300 observations in a matrix.

This is my ARMA model:

This is my code:

clear all
set more off

set matsize 1000
matrix simulaciones =J(1000,2,0) *To save every simulation of every time series generated
matrix serie = J(300,3,0) *To save each time series
set obs 300 *For the 300 observations in every time series
gen t = _n
tsset t
g y1=0
forvalue j = 1(1)1000{

* Creating a time series
forvalues i = 1(1)300 {
gen e = rnormal(0,1)
replace y1=0 if t==1
replace y1 = 0.7*L1.y1 + e - 0.6*L1.e if t == 2
replace y1 = 0.7*L1.y1 - 0.1*L2.y1 + e - 0.6*L1.e + 0.08*L2.e if t > 2
matrix serie[`i',3] = y1
drop e y1
}
svmat serie
matrix simulaciones[`j',1] = mean(y1)
matrix simulaciones[`j',2] = var(y1)

}

I'm very new to Stata and I'm finding trouble to even look for answers on the internet.
If you could see what I'm doing wrong, it would be awesome.

For now, I can generate a single time series with 300 observations.
So, the inner for values works, but the outer one doesn't.

Thank you for your time and help

[Clyde Schechter]

First, I can't get your code to run past the first -matrix simulaciones = ...- command, and I don't see how you managed to either. You cannot begin a comment with a * unless it is the first non-blank character on the line. To have comments beginning in the middle of a line you have to use either // or /* */.

Once that is corrected, the looping structure you have is fine. The problem is with the commands you have written at the end. For example, -matrix serie[`i', 3] = y1- is not a valid command: y is a variable in a Stata data set, and serie is a 300x3 matrix. There is no operation to go from one to another like that. Similarly for your other -matrix- commands: they are just not valid Stata commands. What you want is:

clear all
set more off

set matsize 1000
matrix simulaciones =J(1000,2,0) //To save every simulation of every time series generated
matrix serie = J(300,3,0) //To save each time series
set obs 300 //For the 300 observations in every time series
gen t = _n
tsset t
g y1=0
forvalue j = 1(1)1000{
    * Creating a time series
    forvalues i = 1(1)300 {
        gen e = rnormal(0,1)
        replace y1=0 if t==1
        replace y1 = 0.7*L1.y1 + e - 0.6*L1.e if t == 2
        replace y1 = 0.7*L1.y1 - 0.1*L2.y1 + e - 0.6*L1.e + 0.08*L2.e if t > 2
        mkmat t y1 e, matrix(serie)
        drop e
    }
    summ y1
    matrix simulaciones[`j',1] = r(mean)
    matrix simulaciones[`j',2] = r(Var)
}

[Juan Michelsen]

My bad, I added those comments with * while writing this question. Won't happen again.
Your explanations help me to understand better how to use Stata. I'm very thankful for your help and time.

[Nick Cox]

Cross-posted at https://stackoverflow.com/questions/...nte-carlo-code

Please note our policy on cross-posting, which is explicit in the FAQ Advice all members are asked to read before posting: You are asked to tell us about it.

[Juan Michelsen]

You are right, won't happen again. I'm sorry.