How to generate synthetic econometric time series?
- To: mathgroup at smc.vnet.net
- Subject: [mg37832] How to generate synthetic econometric time series?
- From: ginak <gina02122000 at yahoo.com>
- Date: Thu, 14 Nov 2002 06:11:59 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Supposing that I have some historical econometric time series data (e.g. the price of copper from 1960 to 2001), how do I generate synthetic time series that have all the same statistical properties (including heteroskedasticity) as the historical data? Is there a standard recipe for doing this sort of thing? I'm not interested in forecasting; I just want to generate synthetic data. I've heard of ARCH/GARCH, but to my (very skimpy) knowledge these techniques focus on modeling volatility (a time-dependant variance?), which seems to me insufficient to generate synthetic data. Please correct me if I'm wrong. Can anyone recommend a book that discusses the mechanics of generating synthetic econometric data? If the book's discussion uses Mathematica all the better. Thanks! g.