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Re: st: RE: Markov Chain simulation

From   Nick Cox <>
Subject   Re: st: RE: Markov Chain simulation
Date   Fri, 25 Jan 2013 09:12:57 +0000

Markov chain simulation and Mata would go together very well. You
would certainly need to learn some Mata, but your problem would be an
excellent vehicle.


On Fri, Jan 25, 2013 at 5:30 AM, yannan shen <> wrote:
>>> Kieran,
>>> Thanks for your reply. I am interested in performing simulation with
>>> given initial distribution and transition probability matrix. I have
>>> used the simulate command in stat before and this command only allows
>>> me to choose which distribution my numbers are generated from.
>>> However, I could not find a place to give the transition probability
>>> matrix.
>>> Did I miss something?

n Thu, Jan 24, 2013 at 1:44 AM, Kieran McCaul <> wrote:

>>>> help simulate

yannan shen

>>>> I am currently learning stochastic processes and I want to use stata
>>>> to simulate a random variable.
>>>> I have the initial distribution and transition probability matrix.
>>>> In addition, I want to repeat this process 2000 times to calculate
>>>> E(X). Potentially, I want to calculate the confidence interval for my
>>>> estimation.
>>>> Is there a command in stat for that purpose?
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