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Re: st: code for dynamic programming


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.
> *
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-- 
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*
Osei K.
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