/*
**  Simulate a simultaneous equation system
*/

nobs = 100;
rndseed 64776897;

g0 = { 0 .2, .2 0 };  /* endogenous coefficient matrix */
b0 = { .3 0, 0 .3 };  /* exogenous coefficient matrix */
c0 = { 1 1 };         /* constants */

cr = {  1  .3,    /* correlation matrix of exogenous variables */
       .3   1 };

X = rndn(nobs,2) * chol(cr);

Y = ( X * b0 + c0  + rndn(nobs,2) ) * inv(eye(2) - g0);

dat = Y~X;

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

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