Monday, April 22, 2013

A First Encounter With Monte Carlo Simulation

In my second-year undergraduate course on Statistical Inference for economists, I use Monte Carlo simulation with EViews to illustrate the notion of the "sampling distribution" of a statistic, such as an estimator. This is hardly unusual. However, before we get started I have to persuade the students that this whole Monte Carlo thing might actually work!

So, we go through an exercise where we use simulation to approximate the value of π.