' Generates 2 random walks, x and y, without/with drift 
'    with 2 uncorrelated white noise innovations and
' estimates the relation between the levels and the differences: 
' level:           y  = a +  b x  + eps
' difference: d(y) = c + f d(x) + eta

smpl @all
series x = 0
series ux = nrnd
series y = 0
series uy = nrnd

!driftx = 0
!drifty = 0

smpl 2 @last
x = !driftx + x(-1) + ux
y = !drifty + y(-1) + uy

series dx = x - x(-1)
series dy = y - y(-1)

smpl 2 100
equation level.ls y c x
equation level1.ls y c x ar(1)
equation diff.ls dy c dx
show level
show level1
show diff