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Programming an Estimation Command in Stata

Description

Learn everything you need to write your own estimation commands in Stata including linear estimators, nonlinear estimators, estimators based on maximum likelihood, and estimators based on the generalized method of moments (GMM).

Learn how to make your command behave just like an official Stata command.

This course shows how to write an estimation command for Stata. No Stata or Mata programming experience is required. After providing an introduction to basic Stata do-file programming, the course covers basic and advanced ado-file programming. Next the course 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. Exercises will supplement the lectures and Stata examples.

Price: $1,295  

We offer a 15% discount for group enrollments of three or more participants. Please contact us at [email protected] for details.

Course topics

• Day 1
  • The syntax of Stata estimation commands
  • Basic Stata programming
  • Programming an estimation command in Stata
  • An introduction to the Mata matrix language
• Day 2
  • A further introduction to the Mata matrix language
  • Basic Stata/Mata programming
  • Using optimize() to implement nonlinear statistical estimators in Stata/Mata programs
  • Testing a command by Monte Carlo simulation

Prerequisite

A general familiarity with Stata and a graduate-level course in regression analysis or comparable experience.

Next session

Currently, there are no scheduled sessions of this course.

Email [email protected] to request to be notified of future training sessions.

Notes

Enrollment is limited.