E9.6 Artificial time-series data can be created using formula such as:

Xt = aXt–1 + Normal(mean =

b, SD = b/5)

These series include an initial transient and variability. Using the formula above generate 10 series of data, each with 500 observations, in a spreadsheet. Set a = 0.9, b = 1 and the initial value of X (X0) = 0.1. Determine the warm-up period, number of replications and the run-length for a single long run. Hint: use the ‘‘NORMINV’’
function in Excel to obtain samples from the normal distribution.
Note: an example of these data is available in a spreadsheet (Exercise9.xls) on the web site (www.wileyeurope.com/go/robinson).