Monday, 29 June 2015

Programming an Estimation command in Stata and Mata

CO:STA Workshop by David Drukker (Director of Econometrics, StataCorp)

Writing a Stata command for methods that you use or develop disseminates your research to a huge audience.
This short course shows how to write a Stata estimation command. No Stata or programming experience is required, but it does help. After providing an introduction to basic Stata do-file programming, the course covers basic and advanced ado-file programming.
Next, it provides an introduction to Mata, the byte-compiled matrix language that is part of Stata. Then the course shows how to implement linear and nonlinear statistical methods in Stata/Mata programs. Finally, the course discusses using Monte Carlo simulations to test the implementation.