Monte Carlo simulations are a very powerful way to demonstrate the basic sampling properties of various statistics in econometrics. The commercial software package Stata makes these methods accessible to a wide audience of students and practitioners. The purpose of this chapter is to present a self-contained primer for conducting Monte Carlo exercises as part of an introductory econometrics course. More experienced econometricians that are new to Stata may find this useful as well. Many examples are given that can be used as templates for various exercises. Examples include linear regression, confidence intervals, the size and power of t-tests, lagged dependent variable models, heteroskedastic and autocorrelated regression models, instrumental variables estimators, binary choice, censored regression, and nonlinear regression models. Stata do-files for all examples are available from the authors' website http://learneconometrics.com/pdf/MCstata/.
Adkins, L. and Gade, M. (2012), "Monte Carlo Experiments Using Stata: A Primer with Examples", Terrell, D. and Millimet, D. (Ed.) 30th Anniversary Edition (Advances in Econometrics, Vol. 30), Emerald Group Publishing Limited, Bingley, pp. 429-477. https://doi.org/10.1108/S0731-9053(2012)0000030019Download as .RIS
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