clear ******************************************** * this next line is the only line you should alter * in this program ******************************************** set seed 2222 * set the random number seed to the last 4 digits of your SSN * this program generates k random walks of 500 observations * the model is yj(t)=yj(t-1)+ej(t) for j=1 to 5. The program draws a series * of random shocks from a standard normal distribution then * sums the shocks. yj(1)=ej(1), yj(2)=yj(1)+ej(2), y(3)=y(2)+e(3), etc * the output is a stata data set with five series (y1-y5) and a time index * t in the data file random_series. You should load up that file * to answer the rest of the problem * set space bar pause off set more off * the data set will have 500 observations global n=500 set obs \$n * the time series is defined by the observation count gen t=_n * set the number of variables as a global variable global k=5 * do loop to generate k variables called e1, e2, ...ek forvalues i=1/\$k { * draw the random error from a standard normal error gen e`i'=rnormal(0,1) } * in this do loop, we gen(erate) k new variables forvalues i=1/\$k { * y1 y2 ... yk. next, we set the 1st observation gen y`i'=. * in the series equal to the error from that series replace y`i'=e`i' in 1 } * loop over k variable and n observations. for each forvalues i=1/\$k { * y we add the error for this observation and the previous sum forvalues j=2/\$n { * lag of y quietly replace y`i'=e`i'+y`i'[`j'-1] in `j' } } keep t y1-y5 desc sum save random_series, replace