Monte Carlo simulations are a very powerful way to demonstrate the basic sampling properties of various statistics in econometrics. The commercial software package Stata makes these methods accessible to a wide audience of students and practitioners. The purpose of this paper is to present a self-contained primer for conducting Monte Carlo exercises as part of an introductory econometrics course. More experienced econometricians that are new to Stata may find this useful as well. Many examples

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... re given that can be used as templates for various exercises. Examples include linear regression, confidence intervals, the size and power of t-tests, lagged dependent variable models, heteroskedastic and autocorrelated regression models, instrumental variables estimators, binary choice, censored regression, and nonlinear regression models. Stata do-files for all examples are available from the author's website http://learneconometrics.com/pdf/MCstata/.