/* Unbalanced (Spurious) Regression Simulation */

/* Inconsistency of Estimating 'Unbalanced' equations */

/* Estimate y = I(1) vs. x = I(0) when the true equation is
   dy = I(0) vs. x = I(0) */

/* Tom Fomby, Dept. of Economics, SMU, Dallas, TX 75275 */

ods graphics off;

data rw;
seedy=333333;
seedx=444444;
do sample = 1 to 20;
   y = 0;
 do time = 1 to 600;
  x = 0.00 + rannor(seedx);
  dy = 1.0 + 1*x + rannor(seedy);
  y = dy + y;
 if time > 500 then output;
 end;
end;
run;

/* run unbalanced and balanced regressions by sample */

proc reg data=rw;
model y = x;
model dy = x;
by sample;
run;