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Re: st: question about monte carlo study


From   Eva Poen <eva.poen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: question about monte carlo study
Date   Tue, 14 Apr 2009 17:10:02 +0100

<>

I don't think this is a good idea. Setting the random seed inside the
simulation program leads to the same random numbers being drawn at
every replication.

Instead, use

program olssim
...
end

set seed 123
simulate ...


Eva


2009/4/14 Joao Ricardo F. Lima <jricardofl@gmail.com>:
> Rudy,
>
> another option:
>
> capture program drop olssim
> program olssim
> version 10.0
> drop _all
> set obs 100
> set seed 123
> generate e = invnorm(uniform())*2
> generate x = uniform()*10
> generate y = 1 + 0.5 * x + e
> regress y x
> end
> simulate, reps(1000) : olssim
>
> HTH,
>
> Joao Lima
>
> 2009/4/14 Rudy Fichtenbaum <rudy.fichtenbaum@wright.edu>:
>> I am running a monte carlo simulation using the following program:
>>
>> capture program drop olssim
>> program olssim, rclass
>> version 10.0
>> drop _all
>> set obs 100
>> generate e = invnorm(uniform())*2
>> generate x = uniform()*10
>> generate y = 1 + 0.5 * x + e
>> regress y x
>> return scalar b0 = _coef[_cons]
>> return scalar b1 = _coef[x]
>> end
>>
>> simulate "olssim" b0 = r(b0) b1 = r(b1), reps(1000)
>>
>> sum b0 b1, detail
>>
>> The problem I am having is that each time I run the program I get a slightly
>> different result. I know this is because I have not set the seed for the
>> random number generator but I can't figure out how to set the seed in this
>> program.
>>
>> Rudy
>>
>> --
>> Rudy Fichtenbaum
>> Professor of Economics
>> Chief Negotiator AAUP-WSU
>> Wright State University
>> Dayton, OH 45435-0001
>> 937-775-3085
>>
>> *
>> *   For searches and help try:
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>>
>
>
>
> --
> ----------------------------------------
> Joao Ricardo Lima, D.Sc.
> Professor
> UFPB-CCA-DCFS
> Fone: +5538387264913
> Skype: joao_ricardo_lima
> ----------------------------------------
>
> *
> *   For searches and help try:
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> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>

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