setobs --time-series scalar n=$nobs scalar beta1=0.8 scalar rho=0.4 smpl 1 1 series u=0 series y=0 smpl 2 200 series e=randgen(N,0,1) series u=rho*u(-1)+e series y=beta1*y(-1)+u ols y y(-1) --simple loop 5000 --progressive --quiet series e=randgen(N,0,1) series u=rho*u(-1)+e series y=beta1*y(-1)+u ols y y(-1) scalar beta1hat= $coeff(y_1) scalar s1= $stderr(y_1) scalar bias=$coeff(y_1)-beta1 genr LB = beta1hat - critical(t,$df,0.025)*s1 genr UB = beta1hat + critical(t,$df,0.025)*s1 print beta1 beta1hat bias LB UB endloop smpl 50 --random --replace loop 5000 --progressive --quiet series e=randgen(N,0,1) series u=rho*u(-1)+e series y=beta1*y(-1)+u ols y y(-1) scalar beta1hat= $coeff(y_1) scalar s1= $stderr(y_1) scalar bias=$coeff(y_1)-beta1 genr LB = beta1hat - critical(t,$df,0.025)*s1 genr UB = beta1hat + critical(t,$df,0.025)*s1 print beta1 beta1hat bias LB UB endloop