@--Define some initial values.---@

N=10;

T=25;

"The output for T= and N="; T~N;

@***Parameter space  *******************************************************@

theta=-0.0;     /*theta=-0.5, 0, 0.5 */

sigma=1;      /* sigma= 0.25, 1, 4 */

dela=1.0;        /*delta=0.9, 1 */

a1=1;           /*a1= 0, 1 */

a2=-1;

d=0.0;      /*d=-0.5, 0, 0.5*/

"delta = "; dela;

"pi = ";d;

"a1 = ";a1;

alfa=10*rndu(N,1);

beta=2;

@*************************************************************************@

#include kernels.src

#include base.src

@****************************************************************************@

"    Theta=   and     sigma= " ; theta~sigma;

M=zeros(2,2);

M[1,1]=1; M[1,2]=theta*sigma; M[2,1]=theta*sigma; M[2,2]=sigma*sigma;

L=chol(M);

@*****************************************************************************@

rec=10000;

"rec = ";rec;

@--Declare some vectors --------@

LSDV  =zeros(rec,1);

vecroh=zeros(rec,1);  /* A vector containing the estimated LSDV coefficient.*/

std_b1=zeros(rec,1);  /* A vector of std of the LSDV.*/

DFV   =zeros(rec,1);

DF_t =zeros(rec,1);

PPV  =zeros(rec,1);

PP_t =zeros(rec,1);

ADFV  =zeros(rec,1);

ADF_t =zeros(rec,1);

@********Start Do-Loop**********@

s=5^13;

i=1;

do while i<=rec;

e=(rndns((T+1000)*N,2,s))*L;

e1=(reshape(e[.,1],N,(T+1000)))';

e2=(reshape(e[.,2],N,(T+1000)))';

u1= e1[1000:rows(e1),.];

u2= e2[1000:rows(e2),.] + d*e2[999:(rows(e2)-1),.];

z=recserar(u1,zeros(1,N),dela*ones(1,N));

   /* if delta=1, z has a unit root. delt<1, z is a stationary process.*/

z=z[2:rows(z),.];

w=recserar(u2, zeros(1,N),ones(1,N));  /* w has a unit root.*/

w=w[2:rows(w),.];

@--next construct x and y----@

x=(a1*reshape(alfa,T,N)+(a1*z-w))/(a2-a1*beta);

y=(a2*reshape(alfa,T,N)+(a2*z-beta*w))/(a2-a1*beta);

i=i+1;

endo;

忘记这个循环没结束呢，呵呵。最后加上这个就ok了.......

谢谢版主啦！O(∩_∩)O~ 

我看不明白，这个DGP过程是个什么？。。。

如果是x（it）=x（it-1）+w（it）

括号里是下标，那应该怎么写呢？