[R] Generating Data using Formulas

From: Chrisitan Falde <cfalde_at_hotmail.com>
Date: Tue, 29 May 2007 22:15:39 -0500


My name is Christian Falde. I am new to R.  

My problem is this. I am attempting to learn R on my own. In so doing I am using some problems from Davidson and MacKinnon Econometric Theory and Methods to do so. This is because I can already do the some of the problems in SAS so I am attempting to rework them using R. Seemed logical to me, now I am stuck and its really bugging me.    

The problem is this  

Generate a data set sample size of 25 with the formula y=1+.8*y(t-1)+ u. Where y is the dependent, y(t-1) is the dependent variable lagged one peroid, and u is the classical error term. Assume y0=0 and the u is NID(0,1). Use this sample to compute the OLS estimates B1 (1) and B2(.8). Repeat at least 100 times and find the average of the B's. Use these average to estimate the bias of the ols estimators.  

To start I did the following non lagged program.  

final<-function(i,j){x<-function(i) {10*i} y<-function(i,j) {1+.8*10*i+100*rnorm(j)} datathreeone<- data.frame(replicate(100,coef(lm(y(i,j)~x(i))))) rowMeans(datathreeone)}


Now the "only" thing I need to to is change ".8*10*i" which is exogenous to ".8* y(t-1) ".  

There are two reasons why I did it this way. I needed the rnorm(i) to generate a new set of u's each replication, and I wanted to be able to use the function as i did to make the results more concise.  

For the lag in SAS we used an if then else logic relating to the number of observation. This in R would have to be linked to the invisable row number. I think I need an index variable for the row. Perhaps, sorry thinking while typing.  

Another reason why I am stuck, the lag function was seemingly straight forward.  

lag (x, k=1)  

yet x has to be a matrix so when I tried to do it like above with y as a function R complained.  

I have been working on this for a couple of days now so everything is begining to not make sense. It just seems to me to get the matrix to work out I would need to have two matrices.  

dependent        and           explanatory
y1                 =     sum (  1 +.8*0 + 100*rnorm(i))
y2                 =     sum ( 1 +.8* (dependent row 1) + 100*rnorm(i))

I just am not sure how to do that.  

Please help and thank you for your time,  

christian falde                    

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