rndseed 123456 ' FIX THE SEED FOR THE RANDOM NUMBER GENERATOR SO WE CAN REPLICA

TE THE EXPERIMENT
!nrep=5000 ' THIS IS THE NUMBER OF REPLICATIONS (N)
!n=30 ' THIS IS THE FIXED SAMPLE SIZE (n)
' HERE ARE THE TRUE VALUES OF THE PARAMETERS
scalar alpha=1
scalar beta=0.5
scalar sigma=1
vector(!nrep) bhat ' ASSIGN A STORAGE VECTOR FOR THE RESULTS
series y 'DECLARE A NAME FOR THE SERIES OF SAMPLE VALUES
' HERE IS THE START OF THE MONTE CARLO "LOOP"
for !i=1 to !nrep
smpl 1 !n
y=0
smpl 2 !n
y=alpha+beta*y(-1)+sigma*@rnorm ' TAKE A RANDOM SAMPLE OF SIZE n FROM THE P
OPULATION
equation eq1.ls y c y(-1)
bhat(!i)=c(2)
next
' THIS IS THE END OF THE MONTE CARLO "LOOP"
' NOW GET THE RESULTS INTO A PRESENTABLE FORM
' CONVERT THE VECTOR OF N VALUES OF THE SAMPLE AVERAGE INTO A SERIES SO IT CAN
BE PLOTTED
smpl 1 !nrep
mtos(bhat, b)
' LOOK AT THE RESULTS FOR THE N VALUES OF THE SAMPLE AVERAGE & DISPLAY THE SAMP
LING DISTRIBUTION OF THIS STATISTIC
show b
hist b