new;

T = 202;
erro = rndn(T,14);
tim = seqa(1, 1, T);
xx = zeros(T,14);
xx[1,.] = erro[1,.];

i=1;
do while i <= ((T/2));
	xx[i+1,1] =  0.5*xx[i,1]+ erro[i+1,1];
	xx[i+1,2] =  0.85*xx[i,2]+ erro[i+1,2];
	xx[i+1,3] =  0.02*tim[i+1] + 0.5*xx[i,3]+ erro[i+1,3];
	xx[i+1,4] =  0.02*tim[i+1] + 0.85*xx[i,4]+ erro[i+1,4];
	xx[i+1,5] = 0.02*tim[i+1] + 0.5*xx[i,5]+ erro[i+1,5];
	xx[i+1,13] = 0.02*tim[i+1] + 0.5*xx[i,13]+ erro[i+1,13];
	xx[i+1,14] = 0.06*tim[i+1] + 0.5*xx[i,14]+ erro[i+1,14];
	i = i+1;
endo;
k=(T/2);
do while k <= T-1;
	xx[k+1,1] =  4+0.5*xx[k,1]+ erro[k+1,1];
	xx[k+1,2] =  4+0.85*xx[k,2]+ erro[k+1,2];
	xx[k+1,3] = 0.06*tim[k+1] + 0.5*xx[k,3]+ erro[k+1,3]-0.04*(T/2);
	xx[k+1,4] = 0.06*tim[k+1] + 0.85*xx[k,4]+ erro[k+1,4]-0.04*(T/2);
	xx[k+1,5] = 4+0.02*tim[k+1] + 0.5*xx[k,5]+ erro[k+1,5];
	xx[k+1,13] = 0.02*tim[k+1] + 0.85*xx[k,13]+ erro[k+1,13];
	xx[k+1,14] = 4+0.02*tim[k+1] + 0.5*xx[k,14]+ erro[k+1,14]+0.04*(T/2);
	k = k+1;
endo;

i=1;
do while i <= ((T/4));
	xx[i+1,6] = 0.02*tim[i+1]+ 0.85*xx[i,6]+ erro[i+1,6];
	xx[i+1,7] = 0.02*tim[i+1] + 0.5*xx[i,7]+ erro[i+1,7];
	xx[i+1,8] = 0.02*tim[i+1] + 0.85*xx[i,8]+ erro[i+1,8];
	
	i = i+1;
endo;

i=(T/4);
do while i <= ((3*T/4));
	xx[i+1,6] = 4+0.02*tim[i+1]+ 0.85*xx[i,6]+ erro[i+1,6];
	xx[i+1,7] = 0.06*tim[i+1] + 0.5*xx[i,7]+ erro[i+1,7]-0.04*(T/4);
	xx[i+1,8] = 0.06*tim[i+1] + 0.85*xx[i,8]+ erro[i+1,8]-0.04*(T/4);
	i = i+1;
endo;

k=(3*T/4);

do while k <= T-1;
	xx[k+1,6] = -4+0.02*tim[k+1] + 0.85*xx[k,6]+ erro[k+1,6];
	xx[k+1,7] = 0.01*tim[k+1] + 0.5*xx[k,7]+ erro[k+1,7]-0.04*(T/4)+0.05*(3*T/4);
	xx[k+1,8] = 0.01*tim[k+1] + 0.85*xx[k,8]+ erro[k+1,8]-0.04*(T/4)+0.05*(3*T/4);
	k = k+1;
endo;


/*one time structural break in cointegration*/
sigma1 = {1 0.6, 0.6 1};
coerro = erro[1:100,9:10]*chol(sigma1);

xx[1:100,9] = recserar(coerro[1:100,1], 1, 1);
xx[1:100,10] = recserar(coerro[1:100,2], 1, 1);
sigma2 = {1 0.3, 0.3 1};
coerro = erro[101:202,9:10]*chol(sigma1);

xx[101:202,9] = recserar(coerro[1:102,1], 1, 1);
xx[101:202,10] = recserar(coerro[1:102,2], 1, 1);


/*two time structural break in cointegration*/
sigma3 = {1 0.6, 0.6 1};
coerro2 = erro[1:50,11:12]*chol(sigma3);

xx[1:50,11] = recserar(coerro2[1:50,1], 1, 1);
xx[1:50,12] = recserar(coerro2[1:50,2], 1, 1);

sigma4 = {1 0.2, 0.2 1};
coerro2 = erro[51:150,11:12]*chol(sigma4);

xx[51:150,11] = recserar(coerro2[1:100,1], 1, 1);
xx[51:150,12] = recserar(coerro2[1:100,2], 1, 1);

sigma5 = {1 0.4, 0.4 1};
coerro2 = erro[151:202,11:12]*chol(sigma5);

xx[151:202,11] = recserar(coerro2[1:52,1], 1, 1);
xx[151:202,12] = recserar(coerro2[1:52,2], 1, 1);

xx;