Resampling and Monte Carlo Simulation

Resampling and Monte Carlo Simulation

Introduction

• Wikipedia. Monte Carlo method
• Monte Carlo Simulation Tutorial
• Monte Carlo Simulation in Excel: A Practical Guide
• The Basics of Monte Carlo Simulation
• Owen (2013). Monte Carlo theory, methods and examples (pdf)
• Power. Markov Chains - a visual explanation
• Zhu: Markov Chain Monte Carlo (MCMC) for Computer Vision 

Generate data from a multivariate normal distribution (MVN)

• Stata: drawnorm
• SAS: RANDNORMAL function in SAS/IML or PROC SIMNORMAL in SAS/STAT, or macro %MVN
• R!: mvrnorm() function of MASS package

Stata

• Statements
• simulate
• MVN: drawnorm
• putexcel (pdf):
• YouTube: Saving Stata® estimation results to Excel
• Blog: Output results into Excel tables
• postfile
• Stata tip 54: Post your results
• matrix mkmat (pdf) — Convert variables to matrix and vice versa
• Baum. Monte Carlo Simulation in Stata (2007), Simulation for estimation and testing (2013)
• UCLA. Running a simulation using Stata
• How to simulate multilevel/longitudinal data
• Programming and Post-Estimation

SAS

• Rick Wicklin.
• Simulating data from common univeriate distributions (from his book: Simulating Data with SAS)
• Eight tips to make your simulation run faster
• Simulation in SAS: The slow way or the BY way
• Simulate from the multinomial distribution in SAS
• Alternate ways to simulate multinomial data
• The best articles of 2013: Twelve posts from The DO Loop that merit a second look
• Turn off ODS when running simulations in SAS
• How to generate multiple samples from the multivariate normal distribution in SAS
• Procedures
• PROC MODEL
• MVN: RANDNORMAL function in SAS/IML or PROC SIMNORMAL in SAS/STAT, or macro %MVN

R!

• Robert. Introducing Monte Carlo Methods with R
• Functions
• MVN: mvrnorm() function of MASS package