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Implementing econometric estimators with Mata

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Author Info

  • Christopher Baum

    ()
    (Boston College
    DIW Berlin)

  • Mark E. Schaffer

    (Heriot-Watt University)

Abstract

We discuss how econometric estimators may be efficiently programmed in Mata. The prevalence of matrix-based analytical derivations of estimation techniques and the computational improvements available from just-in-time compilation combine to make Mata the tool of choice for econometric implementation. Two examples are given: computing the seemingly unrelated regression (SUR) estimator for an unbalanced panel, a multivariate linear approach, and computing the continuously updated GMM estimator (GMM-CUE) for a linear instrumental variables model. The GMM-CUE estimator makes use of Mata's optimize suite of functions. Both illustrate the power and effectiveness of a Mata-based approach.

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File URL: http://repec.org/dcon09/baum.pdf
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Bibliographic Info

Paper provided by Stata Users Group in its series DC09 Stata Conference with number 1.

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Date of creation: 11 Aug 2009
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Handle: RePEc:boc:dcon09:1

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Web page: http://www.stata.com/meeting/dcconf09/
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