/*
**  Simulate a nonlinear simultaneous equation system
*/

nobs = 100;
rndseed 376897;


cr = { 1 .7, .7 1 };   /* correlation matrix of exogenous variables */

y = zeros(nobs,2);
X = rndn(nobs,2) * chol(cr);     /* exogenous variables */


b = { .5, .2, .5 };   /* endogenous coefficients */

g = { .5   0,        /* exogenous coefficient matrix */
       0  .5 };

c0 = { .5  .5 };     /* constants */

ib = eye(2);
i = 1;
do until i > nobs;

    ib[1,2] =  -b[1] - b[2]*x[i,2];
    ib[2,1] = -b[3];

    y[i,.] = (x[i,.] * g + c0 + rndn(1,2)) * inv(ib);

    i = i + 1;
endo;

dat = y~x;

lbl = { Y1, Y2, X1, X2 };

call saved(dat,"maxnleq",lbl);