/* Simulate various types of time series data */
data sim;
call streaminit(12345);
do t=1 to 1000;
	e = rand("Normal",0,1);
	u = rand("Normal",0,1);

	/* Serial autocorrelation, AR(1) */
	if t=1 then do;
		e = u;					* Autocorrelation structure ;
		y = 1 + e;				* Generate data ;
	end;
	else do;
		e = 0.9*e_l + u;		* Autocorrelation structure ;
		y = 1 + e;	* Generate data ; 
	end;
	output;

	/* Generate lagged values of errors */
	e_l = e;

end;
label y = "Autocorrelated data"
	  t = "Time";
run;

proc sgplot data=sim noautolegend;
series x=t y=y ;
loess x=t y=y / smooth=0.25 lineattrs=(color=red thickness=4);
run;

/* Statistical properties */
proc corr data=sim cov;
var e e_l;
run;