Monte Carlo Experiments Using gretl: A Primer

Lee Adkins

No 1103, Economics Working Paper Series from Oklahoma State University, Department of Economics and Legal Studies in Business

Abstract: Monte Carlo simulations are a very powerful way to demonstrate the basic sampling properties of various statistics in econometrics. The free software package gretl makes these methods accessible to a wide audience of students and practitioners.In this paper I will discuss the basic principles of Monte Carlo simulations and demonstrate how easy they are to do in gretl. Examples include linear regression, confidence intervals, the size and power of t-tests, lagged dependent variable models, heteroscedastic and auto correlated regression models, instrumental variables estimators, binary choice models, and nonlinear least squares. Scripts for all examples are available from the website http://learneconometrics.com/pdf/MCgretl/.

Keywords: Monte Carlo; econometrics; gretl; simulations (search for similar items in EconPapers)
JEL-codes: C01 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2011-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:okl:wpaper:1103

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