An example: unbiased and consistent estimate

• new;• format /m1 /rd 9,3;

• T=30; @ the number of observations@• n=10000; @ the number of sampling times@

• beta1=1; beta2=2.0;

• Beta_e=zeros(n,2);

• x1=1*Rndn(T,1); • x2=2*Rndn(T,1);• X=x1~x2;

• i=1;• do until i>n;

• @ Data Gerneration Process: Y=beta1*X1+beta2*X2+e@

• e=Rndn(T,1);• Y=beta1*x1+beta2*x2+e;

• @ Parameter Estimation Process: Y=beta1*X1+beta2*x2+u @

• Beta_e[i,.]=olsqr(Y,X)';

• i=i+1;• endo;

• print " the average value of the beta1 estimates";

• print meanc(Beta_e[.,1]);

• print " the average value of the beta2 estimates";

• print meanc(Beta_e[.,2]);