workfile monte-sigma u 1 1000
!series = 500
!draws = 1000
!sigmax = 3
smpl 1 !series
series x = 10+!sigmax*rnd
!sigmau = 1
!alpha = 2
!beta = 3
vector(!draws) sigmavec = 0
for !n = 1 to !draws
   series u = !sigmau*nrnd
   series y = !alpha + !beta*x + u
   equation eq1.ls y c x
   sigmavec(!n)=@ssr/1
next
smpl 1 !draws
series sigmaser = 0
mtos(sigmavec,sigmaser)
sigmaser.hist