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Re: st: question about monte carlo study


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: question about monte carlo study
Date   Tue, 14 Apr 2009 18:54:46 +0200

<>

Rudy may also want to take a cue from the MUS book datasets at http://www.stata-press.com/data/mus.html
File mus04p1sim.do shows how the pros use -simulate- with the -seed- set...


HTH
Martin
_______________________
----- Original Message ----- From: "Eva Poen" <eva.poen@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, April 14, 2009 6:10 PM
Subject: Re: st: question about monte carlo study


<>

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

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--
----------------------------------------
Joao Ricardo Lima, D.Sc.
Professor
UFPB-CCA-DCFS
Fone: +5538387264913
Skype: joao_ricardo_lima
----------------------------------------

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