Implementing econometric estimators with Mata
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2009 with number 16.
Date of creation: 16 Sep 2009
Date of revision:
Other versions of this item:
- NEP-ALL-2009-09-19 (All new papers)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.