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New blog series: Programming an estimation command in Stata®

David Drukker, StataCorp's Executive Director of Econometrics, wants to teach you how to write an estimation command in Stata. He wants your command to act and work just like official Stata estimation commands. He wants your command to support robust standard errors, to perform predictions, and to work with Stata's postestimation commands like test and margins. He wants to show you how easily you can accomplish all this and more.

David is writing a blog series to take you from a Stata programming novice to an accomplished Stata estimation command programmer. He wants you to produce commands you will be confident to share with colleagues, but he won't be disappointed if you just use them yourself.

You will learn how to

  • use macros effectively
  • program ado-files
  • process options
  • allow for if and in qualifiers
  • support time-series and factor-variable operators
  • program in Mata
  • validate and certify your estimator
  • and much more

Stata has many tools that simplify all aspects of programming estimation commands. David carefully leads you through all of these tools so you can understand why they exist and how you can leverage them to make hard things easy.

If you've ever wanted to program your own estimator, but were unsure where to start, David removes that hurdle. Get started with the road map to the blog entries.

Read the blog