/* Unbalanced (Spurious) Regression Simulation */ /* Inconsistency of Estimating 'Unbalanced' equations */ /* Estimate y = I(0) vs. x = I(1) when the true equation is y = I(0) vs. dx = I(0) */ /* Tom Fomby, Dept. of Economics, SMU, Dallas, TX 75275 */ data rw; seedy=111111; seedx=222222; do sample = 1 to 20; x = 0; do time = 1 to 600; x = x; x = 1.00 + x + rannor(seedx); dx = x - lag(x); y = 10.0 + 1*dx + rannor(seedy); if time > 500 then output; end; end; run; /* run unbalanced and balanced regressions by sample */ proc reg data=rw; model y = x; model y = dx; by sample; run;