new;


mu = 0; @ location @



nobs = 500;

psi = 0.9;

phi = -0.9;

@ df=2 ; @



@ MAR(1,1) process student-2 errors @

y = zeros(nobs,1);

eps = rndt(nobs, 1, 2);


proc rndt(r,c,df);  /* r:rows, c:cols, df:df */
    local x,z;
    x = rndn(df,r*c);
    x = sumc(x.*x);
    x = reshape(x,r,c);
    z = rndn(r,c);
    retp(z./sqrt(x/df));
endp;


/* Example: y = rndt(100,5,2); */

@ MAR(1,1) process Cauchy errors @


sig=1;

uu = rndu(nobs,1);
cou = sig *tan(pi*(uu-0.5)) +mu;

eps=cou;



nve = zeros(nobs,1);
nu = zeros(nobs,1);

nve[1,1] = eps[1,1];
nu[nobs,1] = eps[1,1];


@ makes 1 vector of processes with psi, phi @



i = 2;
do until i> nobs;

nve[i,1] = eps[i,1] + phi*nve[i-1,1];
i = i+1;
endo;


i = 1;
do until i > nobs-1;
k = nobs-i;
nu[k,1] = eps[k,1] + psi*nu[k+1,1];
i = i+1;
endo;


i = 1;
do until i >nobs-1;

term = 1 - phi*psi;

y[i] = (1/term) * (nve[i,1] + psi*nu[i+1,1]);

i = i+1;

endo;



y = trimr(y,50,50);


@ the output is 400 vector y @


output file=simul.out reset;

print y;

end;