David Drukker the Executive Director of Econometrics at Stata will deliver a course on Implementing an estimation command in Stata/Mata.
Writing a Stata command for methods that you use or develop disseminates your research to a huge audience. This short course shows how to write a Stata estimation command. No Stata or Mata programming experience is required, but it does help. After providing an introduction to basic Stata do-file programming, the course covers basic and advanced ado-file programming. Next, it 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.
Outline:
o How does Stata work?
o Estimation-postestimation framework
o Estimation followed by test, predict, and margins
o A quick introduction to Stata do-file programming
o An introduction to Stata ado-file programming and to syntax
o A Stata program that implements the ordinary least-squares (OLS) estimator
o Writing a certification script
o An introduction to basic Mata programming
o Making our OLS program use Mata
o More Mata programming examples
o Mata programming for nonlinear statistical estimation
o A Stata/Mata program for Poisson regression
o Making predict and margins work with our command
o Monte Carlo simulations in Stata
Schedule
10:00 – 10:30: Registration and refreshments
10:30 – 11:30: The syntax of Stata estimation commands and basic Stata programming
11:30 – 12:30: Programming an estimation command in Stata (Basics)
12:30 – 13:15: Lunch
13:15 – 14:30: An introduction to the Mata matrix language 14:30 – 15:15: An introduction to Mata/Stata programming
15:15 – 15:30: Coffee Break
15:30 – 16:30: Using optimize() to implement nonlinear statistical estimators in Stata/Mata programs
16:30 – 17:15: Testing a command by Monte Carlo simulation
17:15: Close