This preview shows page 1. Sign up to view the full content.
Unformatted text preview: If I change the definition of the program, I need to either give it a new name, or drop the old program using program drop montecarlo Monte Carlo experiments provide ways to evaluate the statistical properties of estimators, either to verify theorems, or to examine properties in cases where theorems do not exist. In the program above, data are generated under the assumptions of the CLRM, so the GaussMarkov Theorem should apply to estimates of parameters generated by OLS. To verify these, we can use the simulate command as shown below. In this experiment, data will be generated 1000 times and the regression coefficients ( _b ) and their standard errors ( _se ) will be saved. simulate "montecarlo 2" _b _se, reps(1000)...
View Full
Document
 Spring '09
 Partha
 Econometrics

Click to edit the document details