You might find the "Interactive Statistics Tutorials in Stata" by
Christopher Ferrall useful as a starting point. An article decribing
the tutorial and an example on running monte carlo experiments is in
the Journal of Statistics Education v.3, n.3 (1995), available at:
http://www.amstat.org/publications/jse/v3n3/ferrall.html
and the tutorial files are at
http://qed.econ.queensu.ca/pub/faculty/ferrall/stata/readme.html
Hope this is useful,
Scott
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