Simulating a Mixed Normal Distribution Gauss file(s) nts mixednormal g Matlab file(s) nts mixednormal m For a sample of size T 4000, simulate two independent normal random variables V1,t, V2,t N(0, 1) and compute the slope coefficient, b, from a regression of V2,t on y1,t, where y1,t y1,t1 V1,t Compute the scaled statistic Tb and repeat 20000 times Plot the distribution of Tb and compare the shape of this distribution with the standard normal distribution based on the mean and the variance of b

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Question: Simulating a Mixed Normal Distribution Gauss file(s) nts_mixednormal.g Matlab file(s) nts_mixednormal.m For a sample of size T = 4000, simulate two independent normal random variables

Simulating a Mixed Normal Distribution Gauss file(s) nts_mixednormal.g Matlab file(s) nts_mixednormal.m For a sample of size T = 4000, simulate two independent normal random variables V1,t, V2,t ∼ N(0, 1) and compute the slope coefficient, βb, from a regression of V2,t on y1,t, where y1,t = y1,t−1 + V1,t. Compute the scaled statistic Tβb and repeat 20000 times. Plot the distribution of Tβb and compare the shape of this distribution with the standard normal distribution based on the mean and the variance of βb.

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