set.seed(123) time<-c(1:100) time y1<-w<-rnorm(100) y1 w for(t in 2:100) y1[t]=0.8*y1[t-1]+w[t] y1 y1.ts<-ts(y1) y2<-y1 for(t in 1:100) y2[t]=y1[t]+0.1*time[t] y2 y2.ts<-ts(y2) y2.ts plot(y2.ts, lwd=1, type="l") y3<-y2 y11<-y1 y11d<-data.frame(y11) y11d wd<-data.frame(w) wd wd[50,1]<-10 wd wd.ts<-ts(wd) for(t in 2:100) y11[t]=0.8*y11[t-1]+wd.ts[t] y11 y11.ts<-ts(y11) for(t in 1:100) y3[t]=y11[t]+0.1*time[t] y3 y3.ts<-ts(y3) y3.ts plot(y2.ts, ylim=c(-2,16),lwd=2, main="Shock to Trend-Stationarity Process",type="l") abline(lm(y2.ts~time),col="red") lines(y3.ts, lwd=2, lty=6, col="blue")