' MC Simulation of Cross-Correlations
' sample size 200

series      x = nrnd
series      y = nrnd
scalar      a= +.8
scalar      b= +.8

series      u = nrnd 
series      v =  nrnd

smpl        2 @last
'  AR(1)
series      x = b*x(-1) + nrnd
series      y = a*y(-1) + nrnd
' MA(1)
series     x1 = u + a*u(-1)
series     y1 = v + b*v(-1)

smpl      @all
group g y x1
show g.crosscor

group g1 y1 x
show g1.crosscor