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From |
Osei Kuffour Wiafe <okwiafe@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: code for dynamic programming |

Date |
Sat, 3 Mar 2012 01:05:36 +1000 |

Partho, Thanks for the ideas and the attached resources are very enlightening. Yes, it's an Inter-temporal utility maximizing problem, and now it looks to be far-fetched for me! Nick, I appreciate your thoughts too. I hope someone comes up with something in this field in the very near future! thanks guys! On Fri, Mar 2, 2012 at 7:10 PM, Partho Sarkar <partho.ss+lists@gmail.com> wrote: > Osei, from your post it is not clear to me exactly what you are > trying to do- I think you would get more help if you explain that > clearly. Some remarks & suggestions below , for what they are worth: > > If it is an exercise in simulating/solving a dynamic programming (DP) > problem as such (e.g., inter-temporal utility maximization of a > consumer, which is what your post suggests) , then Stata is simply not > the tool for it- Stata is by definition geared toward *statistical* > problems. Sure, like any statistical package, it uses some > maximization algorithms, e.g., for maximum likelihood estimation, but > these are by their nature specific to that particular class of > problem. (It might be possible to somehow manipulate these to told > to solve a DP problem, but it doesn't seem very promising!) > > For DP as such, which is a *mathematical/computational* problem, there > are many programs available in other languages/packages- Matlab would > be my first choice (or R or C++ ). Have a look at > http://www.stanford.edu/~roymill/cgi-bin/methods2010/material.php (the > Matlab section) -there are many other sources for DP algorithms in > Matlab. ( It is some time since I have worked on this type of > exercise, so you might find more upto date information. ) > > On the other hand, if you are trying to *estimate* a dynamic discrete > choice model, then that is a *statistical* problem in which you can > utilize Stata's estimation tools (the key here would be formulating > the estimation problem/equations properly, and not the algorithm). I > have no experience of this, but if you search around, I am sure you > will be able to find some sources. E.g., just at random,I found a > link to this recent paper : > http://www.annualreviews.org/doi/abs/10.1146/annurev-economics-111809-125038?journalCode=economics > > I hope this helps. > > Partho Sarkar > > > > From Osei Kuffour Wiafe <okwiafe@gmail.com> > To statalist@hsphsun2.harvard.edu > Subject st: code for dynamic programming > Date Thu, 1 Mar 2012 21:12:16 +1000 > > Hey guys, > > I'm quite new to stata and I need help with coding a backward recursive > problem. It is in the form of the Epstein-Zin utility and similar to the > Bellman equation. I'd appreciate any other dynamic programming code which > would relate to what I am doing. That should give me a clue to finding my > solution. For now I have no idea where to begin! > > Hope to get some help from this forum. > Cheers, > O.K. > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ -- Cheers, * Osei K. Phone: + 61 7 3138 6857 * *Mobile: + 61 451 418 099 *I don't know who my grandfather was; I am much more concerned to know what his grandson will be. ~ *Abraham Lincoln* *(1809- 1865)* Life is like riding a bicycle - in order to keep your balance, you must keep moving. ~*Albert* *Einstein (1879-1955) * * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: code for dynamic programming***From:*Partho Sarkar <partho.ss+lists@gmail.com>

**References**:**Re: st: code for dynamic programming***From:*Partho Sarkar <partho.ss+lists@gmail.com>

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