/* 

   Goal: to simulate 4000 simple linear regressions and study the joint
limiting distributions of a, b, MSE.                           */

* -------------------;
Options notes;        
/*proc datasets;        ;
delete allbetas run;  ;
---------------------*/
%let a=10; %let b=2; %let sig=3; 
Data a; 
input X @@; 
  do rep= 1 to 4000;        
           Y = &A + &B*X + &sig*normal(1827689); 
		   file print; if rep<3 then put Y= X= ; 
   output; end; 
cards; 
14 9 20 25 13 8 12 10 10 5 30 26 18 11 19 22 25 19 8 15
proc sort data=a; by rep; 
proc print data=a; where rep=1; 
  title "Data generated as Y = &a + &b.X + &sig e "; ** try removing the dot **; 

%macro slow; 
%do rep = 1 %to 100; 
proc reg noprint data=a outest=betas; 
  model Y = X;  where rep = &rep; 
proc append base=allbetas data=betas; 
%end; %mend slow; 

proc datasets; delete allbetas; 
%slow; 
proc print data=allbetas(obs=40); 
run;