Transient Effects in Conditional Mean Model Simulations

When you use automatically generated presample data, you often see some transient effects at the beginning of the simulation. This is sometimes called a burn-in period. For stationary processes, the impulse response function decays to zero over time. This means the starting point of the simulation is eventually forgotten. To reduce transient effects, you can:

  • Oversample: generate sample paths longer than needed, and discard the beginning samples that show transient effects.

  • Recycle: use a first simulation to generate presample data for a second simulation.

For nonstationary processes, the starting point is never forgotten. By default, all realizations of nonstationary processes begin at zero. For a nonzero starting point, you need to specify your own presample data.

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