/* This Monte Carlo program generates data from an ARMA(1,1) model. */ data mc; u1=0;y1=100;a=-0.3;b=0.7; do t = 0 to 100; u=rannor(123456); y = 30 + b*y1 + u - a*u1; if t > 0 then output; u1=u; y1=y; end; proc gplot data=mc; symbol v=dot c=black i=join h=.8; title1 'Monte Carlo ARMA(1,1) data with phi1 = 0.7 and theta(1) = -0.3'; title2 'X=Time Y=ARMA(1,1) Series'; axis1 order=(0 to 100 by 10) label=(f=duplex 'Obs'); axis2 order=(90 to 110 by 5) label=(f=duplex 'ARMA(1,1) Series'); plot y*t / haxis=axis1 vaxis=axis2; run; title 'Monte Carlo ARMA(1,1) data with phi1 = 0.7 and theta(1) = -0.3'; proc arima data=mc; identify var = y; run;