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Implementing econometric estimators with Mata

Author

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  • Christopher F 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.

Suggested Citation

  • Christopher F Baum & Mark E. Schaffer, 2009. "Implementing econometric estimators with Mata," United Kingdom Stata Users' Group Meetings 2009 16, Stata Users Group.
    • Handle: RePEc:boc:usug09:16
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