# Set the sample size and save it in n
nulldata 100
scalar n = $nobs

# generate n observations on x   
series x = uniform()

set seed 3213799 # set a seed if you want to get same results

# Set the values of the parameters
scalar slope = 10
scalar sigma = 20
scalar delta = .7
scalar rho = .9

# initialize variables u and y
series u = normal()
series y = normal()

# start the loop, indicating the desired number of samples.
loop 400 --progressive --quiet
   # generate normal errors  
   series e = normal(0,sigma)
   # generate autocorrelated errors   
   series u=rho*u(-1)+e
   # generate sample of y 
   series y = slope*x + delta*y(-1) + u   
   # run the LDV regression 
   ols y const x y(-1)
   # run the non-LDV regression 
   ols y const x
   # run co
   ar 1; y const x y(-1) 
   # run ardl21
   ols y const x y(-1) x(-1) y(-2) 
endloop