?
? ==================== simhsprcs.tsp ============================
?
?  Program to simulate data according to 8 panel time series
?  processes. This version ensures stationarity of the processes
?  (except in the RW case), which validates the use of CMLE for
?  estimation. Errors are heteroskedastic
?  The parameters of the processes are determined
?  from the first and second moments of the R&D series for the
?  United States. The models are the following:
?
?  1. Random walk with drift
?  2. Fixed effect with trend
?  3. AR(1) with no effect, rho=0.3
?  4. AR(1) with no effect, rho=0.9
?  5. AR(1) with no effect, rho=0.99
?  6. AR(1) with fixed effect, rho=0.3
?  7. AR(1) with fixed effect, rho=0.9
?  8. AR(1) with fixed effect, rho=0.99

  const meany 2.50 ;
  const vary 4.599 ;
  const meandy .085 ;
  const logvar 1.55 ;
  const varlog 1.33 ;

  if imod=1 ; then ; do ;
	if isim=1 ; then ; title "Random Walk Process" ;
      param rho .99 var .01 ;
      simrwhs nob t meany vary meandy logvar varlog trend y ;
  enddo ;
  if imod=2 ; then ; do ;
	const rhog 0.3 ;
    if isim=1 ; then ; do ;
	  title "AR(1) Process with rho=0.3" ;
	  print rhog logvar varlog ybar varb ;
	enddo ;
    panarshs nob t logvar varlog rhog trend ybar varb y ;
  enddo ;
  if imod=3 ; then ; do ;
	const rhog 0.9 ;
    if isim=1 ; then ; do ;
	  title "AR(1) Process with rho=0.9" ;
	  print rhog logvar varlog ybar varb ;
	enddo ;
    panarshs nob t logvar varlog rhog trend ybar varb y ;
  enddo ;
  if imod=4 ; then ; do ;
	const rhog 0.99 ;
    if isim=1 ; then ; do ;
	  title "AR(1) Process with rho=0.99" ;
	  print rhog logvar varlog ybar varb ;
	enddo ;
    panarshs nob t logvar varlog rhog trend ybar varb y ;
  enddo ;
  if imod=5 ; then ; do ;
    if isim=1 ; then ; do ;
	  title "Fixed Effect" ;
	  print logvar varlog varb ybar ;
  enddo ;
	panfeshs nob t logvar varlog varb ybar trend y ;
	enddo ;
  if imod=6 ; then ; do ;
	const rhog 0.3 ;
    if isim=1 ; then ; do ;
	  title "AR(1) Process with F.E., rho=0.3" ;
	  print rhog logvar varlog ybar varb ;
	enddo ;
    panarsfh nob t logvar varlog rhog trend ybar varb y ;
  enddo ;
  if imod=7 ; then ; do ;
	const rhog 0.9 ;
    if isim=1 ; then ; do ;
	  title "AR(1) Process with F.E., rho=0.9" ;
	  print rhog logvar varlog ybar varb ;
	enddo ;
    panarsfh nob t logvar varlog rhog trend ybar varb y ;
  enddo ;
  if imod=8 ; then ; do ;
	const rhog 0.99 ;
    if isim=1 ; then ; do ;
	  title "AR(1) Process with F.E., rho=0.99" ;
	  print rhog logvar varlog ybar varb ;
	enddo ;
    panarsfh nob t logvar varlog rhog trend ybar varb y ;
  enddo ;