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log using spurious.txt, text replace
di "spurious.txt: stata simulation example for spurious regression"
version 7

*Example of random walk: Y_t = Y_(t-1) + u_t
*y_0 = 0, u_t ~ iid N(0,1)

drop _all
set obs 100

gen u = invnorm(uniform())
gen v = invnorm(uniform())

* y_t is a cumulative sum 

gen y = sum(u)
gen x = sum(v)

range time 1 100 100
tsset time

regress y x

predict yhat, xb

twoway (scatter y x) (line yhat x)


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