/* AR(p) */
new; cls;
psi={0.8,-0.1,0.1}; s2=0.1;       
n=1000;
x=arsim(psi,s2,n);
library pgraph;
graphset;
title("AR(p)");
t=seqa(1,1,n);
xy(t,x);



proc arsim(psi,s2,n);
   local cutn,p,e,x,t;
   cutn=100;                             /* first some data to cut off */
   p=rows(psi);
   print/lz "p=" rows(psi);
   e=rndn(cutn+n,1)*sqrt(s2);
   x=zeros(cutn+n,1);
   t=p+1;                              
   do while t<=cutn+n;
      x[t]=rev(psi)'x[t-p:t-1]+e[t];
      t=t+1;
   endo;
   x=x[cutn+1:cutn+n];
   retp(x);
endp;