' A)
' Generates 2 random walks, x and y, without/with drift 
'    with 2 uncorrelated white noise innovations and
' estimates the relation between the levels: 
' level:           y  = a +  b x  + eps
' Check t-value of the coefficient f x
' Calculate corr(x,y)
' Repeat 5 times 
' report the number of |t| > 1.96, and corr(x,y) > 0.25

' B) Do the same with diff(x) (WN) and diff(y) (also WN). 

' Repeat 5 times 
' report the number of |t| > 1.96, and corr(x,y) > 0.25 
' in both cases

' Open a New Workfile with Integer Date 1 100

'' Student version:
'' Enlage the Command Window a bit. 
'' Copy all commands into the Command Window 
'' (only the last will be executed)
'' Go to the top, and press Enter for each command in the Command window one by one.
'' Start at first line again. (remove the copied block)

' A)
smpl @all
series x  = 0
series ux = nrnd
series y  = 0
series uy = nrnd

smpl 2 @last
' RWs without drift
x = x(-1) + ux
y = y(-1) + uy

smpl @all
equation level.ls y c x
@cor(x,y)  ' value is found at the lower corner of the screen

' B)
series dy = y - y(-1)
series dx = x - x(-1)
equation diff.ls dy c dx
@cor(dx,dy)