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Adaptive Markov chain Monte Carlo sampling and estimation in Mata

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Abstract

I describe algorithms for drawing from distributions using adaptive Markov chain Monte Carlo (MCMC) methods, introduce a Mata function for per- forming adaptive MCMC, amcmc(), and a suite of functions amcmc_*() allowing an implementation of adaptive MCMC using a structure. To ease use in application to estimation problems, amcmc() and amcmc_*() can be used in conjunction with models set up to work with Mata’s moptimize( ) or optimize( ), or with stand-alone functions. I apply the routines in a simple estimation problem, in drawing from a distributions without a normalizing constant, and in Bayesian estimation of a mixed logit model.

Suggested Citation

  • Matthew J. Baker, 2013. "Adaptive Markov chain Monte Carlo sampling and estimation in Mata," Economics Working Paper Archive at Hunter College 440, Hunter College Department of Economics.
  • Handle: RePEc:htr:hcecon:440
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    File URL: http://econ.hunter.cuny.edu/wp-content/uploads/sites/6/RePEc/papers/HunterEconWP440.pdf
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    References listed on IDEAS

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    1. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521747387, May.
    2. Arne Risa Hole, 2007. "Fitting mixed logit models by using maximum simulated likelihood," Stata Journal, StataCorp LP, vol. 7(3), pages 388-401, September.
    3. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
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    Cited by:

    1. Erik Figueiredo & Luiz Renato Lima & Gianluca Orefice, 2016. "Migration and Regional Trade Agreements: A (New) Gravity Estimation," Review of International Economics, Wiley Blackwell, vol. 24(1), pages 99-125, February.
    2. Andrew Myburgh & Jordi Paniagua, 2016. "Does International Commercial Arbitration Promote Foreign Direct Investment?," Journal of Law and Economics, University of Chicago Press, vol. 59(3), pages 597-627.
    3. Ana Cuadros & Joan Martín-Montaner & Jordi Paniagua, 2017. "Migration and FDI: The role of job skills," Working Papers 2017/15, Economics Department, Universitat Jaume I, Castellón (Spain).

    More about this item

    Keywords

    Stata; Mata; Markov chain Monte Carlo; drawing from distributions; Bayesian estimation; mixed logit;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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