nulldata 100

setobs 12 1950:01

scalar iters = 5000

matrix B = zeros(iters, 3)
matrix SE = zeros(iters, 3)

genr x = uniform()

loop i=1..iters -q
  genr u = normal()
  genr u = .8*u(-1) + normal()
  genr y = 10 + 20*x + u

  ols y 0 x -q
  B[i,1] = $coeff(x)
  SE[i,1] = $stderr(x)

  ols y 0 x -q -r
  B[i,2] = $coeff(x)
  SE[i,2] = $stderr(x)

  corc y 0 x -q
  B[i,3] = $coeff(x)
  SE[i,3] = $stderr(x)
endloop 

matrix Bmean = meanc(B)
matrix Bsd = sd(B)
matrix SEmean = meanc(SE)

printf "\n"
printf "OLS: mean(b) = %.4f, s.d.(b) = %.4f, avg(se) = %.4f\n", \
  Bmean[1], Bsd[1], SEmean[1]
printf "HAC: mean(b) = %.4f, s.d.(b) = %.4f, avg(se) = %.4f\n", \
  Bmean[2], Bsd[2], SEmean[2]
printf "CRC: mean(b) = %.4f, s.d.(b) = %.4f, avg(se) = %.4f\n", \
  Bmean[3], Bsd[3], SEmean[3]