*
* Monte Carlo anslysis from page 351
*
compute ndraws=10000
compute nobs  =123
all nobs
*
* The 2SLS coefficients and t-statistics are put into "ndraws" entries of the
* series b and tstat. It's often easier to analyze the output when it's in a
* series.
*
set b 1 ndraws = 0.0
set tstat 1 ndraws = 0.0
do draws=1,ndraws
   set(first=0.0) e = %ran(1.0)
   accumulate e
   set c = 100+e
   set y = c-c{1}
   set x = c**2-c{1}**2
   instruments x{1}
   linreg(noprint,inst) y
   # x
   compute b(draws)=%beta(1),tstat(draws)=%tstats(1)
end do draws
*
stats(fractiles) b
stats(fractiles) tstat
*
* Figure 11.2 is clearly not matching table 11.1. However, cutting out the
* extreme values does seem to be necessary with these results as well.
*
stats(fractiles) b
set smpl 1 ndraws = b>=%fract05.and.b<=%fract95
density(smpl=smpl) b 1 ndraws xb fb
scatter(style=line,footer="Figure 11.2 Distribution of 2SLS estimate")
# xb fb