RE: How to generate synthetic econometric time series?
- To: mathgroup at smc.vnet.net
- Subject: [mg37843] RE: [mg37832] How to generate synthetic econometric time series?
- From: iparaske at cajamadrid.es
- Date: Fri, 15 Nov 2002 01:34:49 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
hi, you can use the TimeSeries package (you have to buy it) that generates time series of AR, or ARCH type. In general GARCH process can be generate random time series, conditioned on the knoweledge of the parameters. I hope that helps yannis -----Mensaje original----- De: ginak [mailto:gina02122000 at yahoo.com] Enviado el: 14 November 2002 12:12 Para: mathgroup at smc.vnet.net Asunto: [mg37832] How to generate synthetic econometric time series? 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.