I’m Paolo Pocaterra and I’m a new user of this list. I’m in trouble with the Monte Carlo simulation in gretl and I hope someone of you can help me. I need someone who is able to clarify and explain the aim and mostly the code on grelt of the Monte Carlo simulations. 

Actually, I’m trying to generate 1000 Monte Carlo simulations using a sample size of 50 (T=50).

Considering the following model

yt = b1yt−1 + ut, ut iid ∼ N(0,1)

xt = b2xt−1 + et, et iid ∼ N(0,1)

where t = 0,…,T; b1=1 and b2=1, y0 = 0 e x0 = 0.

and I have to estimate

yt =  alpha+ xt + vt 

where vt is the usual error term.