*    DICKEY_1.PRG: Ma première étude de Monte-Carlo - Le modèle AR(1)
*
SEED 4
COMPUTE NOBS=100
COMPUTE NDRAWS=2000
ALLOCATE NDRAWS
ZERO XT ; ZERO PHI_S; ZERO PHI_NS
*
*        La distribution du phi estimé est symétrique
*        autour du vrai phi inférieur à 1
*
EQUATION 1 XT 1
ASSOCIATE(VARIANCE=1.0) 1
# 0.0 0.5
SMPL 3 102
DO DRAWS=1,NDRAWS
   SIMULATE 1 NOBS+1 2
   # 1 XT
   LINREG(NOPRINT) XT
   # CONSTANT XT{1}
   COMPUTE PHI_S(DRAWS) = %BETA(2)
END DO DRAWS
*
STATISTICS(FRACTILES) PHI_S 1 NDRAWS
ORDER PHI_S 1 NDRAWS
PRINT 1 10 PHI_S
PRINT 1990 2000 PHI_S
DENSITY(TYPE=HISTOGRAM)PHI_S 1 2000 HGRID HDENSITY
SCATTER(STYLE=BARGRAPH,HEADER='Distribution de phi stationnaire') 1
# HGRID HDENSITY
*
*        La distribution de phi estimé n'est pas symmétrique
*        autour du vrai phi égal à 1
*
ASSOCIATE(VARIANCE=1.0) 1
# 0.0 1.0
DO DRAWS=1,NDRAWS
   SIMULATE 1 NOBS+1 2
   # 1 XT
   LINREG(NOPRINT) XT
   # CONSTANT XT{1}
   COMPUTE PHI_NS(DRAWS) = %BETA(2)
END DO DRAWS
*
STATISTICS(FRACTILES) PHI_NS 1 NDRAWS
ORDER PHI_NS 1 NDRAWS
PRINT 1 10 PHI_NS
PRINT 1990 2000 PHI_NS
DENSITY(TYPE=HISTOGRAM) PHI_NS 1 2000 SGRID SDENSITY
SCATTER(STYLE=BARGRAPH,HEADER='Distribution de phi non stationnaire') 1
# SGRID SDENSITY
*
DEDIT(NEW) C:\T837\DAT\PHI.RAT
INCLUDE PHI_S  PHI_S 1 NDRAWS
INCLUDE PHI_NS PHI_NS 1 NDRAWS
SAVE
END