*   R. Carter Hill, William E. Griffiths and Guay C. Lim,  
*   Principles of Econometrics, Fourth Edition, Wiley, 2011.

* Repeated Sampling Experiment
*       Chapter 2.4.3  (p. 59)
*       Chapter 3.1.4 (pp. 99-100)
 
SAMPLE 1 40
READ (table2_2.dat) / names

* Use the DIM command to create variables for saving results
DIM b1 10 b2 10 se1 10 se2 10 sig2 10 

* Use a DO-loop for repeated estimations
SET NODOECHO NOOUTPUT
DO #=1,10
OLS y# x / COEF=b STDERR=se
* The error variance estimate is saved in the temporary variable $SIG2 
 GEN1 sig2:#=$SIG2
 GEN1 b1:#=b:2
 GEN1 b2:#=b:1
 GEN1 se1:#=se:2
 GEN1 se2:#=se:1
ENDO

SET OUTPUT
SAMPLE 1 10
GENR sampNum=TIME(0)
FORMAT(F10.0,5F10.2)
NAMEFMT(6X,6(A8,2X))
* Print the results (Table 2.2, p. 59)
PRINT sampNum b1 b2 / FORMAT
* Get the average estimates from the 10 samples (p. 59)
STAT b1 b2 

* Print more results (Table 3.1, p. 99)
PRINT sampNum b1 se1 b2 se2 sig2 / FORMAT

* Get a t-distribution critical value for a 95% confidence interval
GEN1 alpha=0.05/2
DISTRIB alpha / TYPE=T DF=38 INVERSE
GEN1 tcrit=$CRIT
PRINT tcrit
* Calculate interval estimates (Table 3.2, p. 100)
GENR b1LOW=b1-tcrit*se1
GENR b2LOW=b2-tcrit*se2
GENR b1UP=b1+tcrit*se1
GENR b2UP=b2+tcrit*se2
PRINT sampNum b1LOW b1UP b2LOW b2UP / FORMAT
STOP