Workshop: Implementing an estimation command in Stata/Mata
David Drukker, Executive Director of Econometrics, StataCorp LLC
Overview
Writing a Stata command for methods that you use or develop
disseminates your research to a huge audience. This workshop
on June 8 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
workshop 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 workshop shows how to
implement linear and nonlinear statistical methods in Stata/Mata
programs. The workshop discusses using Monte Carlo
simulations to test the implementation.
Enrollment is limited. The workshop will begin at 9:00 a.m.
and end at 4:45 p.m. with a midday break for lunch.
Module 1 (1.25 hrs) Beginner
- How does Stata work?
- Estimation-postestimation framework
- Estimation followed by test, predict, and margins
- A quick introduction to Stata do-file programming
Module 2 (1.25 hrs) Beginner/Intermediate
- An introduction to Stata ado-file programming and to syntax
- A Stata program that implements the ordinary least-squares (OLS)
estimator
- Monte Carlo simulations in Stata
Module 3 (1.75 hrs) Intermediate
- An introduction to basic Mata programming
- Making our OLS program use Mata
- More Mata programming examples
Module 4 (1.75 hrs) Intermediate/Expert
- Mata programming for nonlinear statistical estimation
- A Stata/Mata program for Poisson regression
- Making predict and margins work with our command
