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Source: Econometrics By Simulation → Stata Blogs

目录

Programming

Basics

- commenting - wildcards

forvalues

foreach

macros 1   macros 2

capture

predict

return

logical operators

If statements and relational operators

  7 ways to Speed up your do files   Formatting Guide

Random Variables

A note on generating random numbers

Generating 'random' variables drawn from any distribution

Drawing jointly distributed non-normal random variables

Generate rank correlated variables   Draw Multinomial Random Variables

Mata

Matrix operations in Mata

Mata speed gains over Stata

Write your own System OLS in Mata   Mata: program your own IV Estimator

Maximum Likelihood (write your own commands)

Quantile regression   3 ways to write a probit command   Linear models with heteroskedastic errors   ML and initial values

Programs

all missing in SPSS to Stata missing   capture_retry

Remove a subset from a global - Stata

Recursive programming in Stata   Inverting a Binomial Distribution in Stata - harder than it sounds

Simulation Tools

bootstrapped draws - merge method

  bootstrapped draws - expand method

asim command   msimulate command

Programming   Return Text   Stata Syntax Command's Syntax

Data Management

Data Organization

Three ways to Create Unique Identifiers   Use Expand to Manually Reshape Data

Pre and Post Test Data Merge/Append

Moving Averages & Data Cleaning

Data Imputation

Hot Decking!

Data Powertools- Increasing your workload Efficiency

Easy recode all missing SPSS or SAS into Stata

Turn factor variables into a list of dummy variables

3 Ways of Loading SPSS (sav) files into Stata

Stata Fuzzy match command

  Search all of the data in a directory for a variable

Econometrics

Probability

Central Limit Theorem

Independence and Bayes Rule

Jensen's inequality

The Delta Method

Law of Iterative Expectations/Law of Total Expectations

t-tests and F-tests and rejection rates   A note on correlated variables

Write your own bootstrap command

Survival Rates and Negative Binomial

The Problem with Probabilities I - how many rolls does it take to get a 1?

  The Problem with Probabilities II - Monte Hall's Problem

The Problem with Probabilities III - Settlers of Catan - probability of bandit attack   The Delta method to estimate standard errors from a non-linear transformation

Classical Problems

OLS w Correlation between x and u

The problem of near multicollinearity

The randomly walking currency market

Selection and Bias

Linear models with heteroskedastic errors

Calculating Mutually Exclusive Fixed Effects

Test Rejection Power for Failure of Normality Assumption

Modeling Heteroskedasticity   Measurement Error   Model Selection Tests

Efficiency of LAD vs OLS

Checking for differences in estimates by group   Chamberlain Mundlak Device and the CLuster Robust Hausman Test   Endogenous Binary Regressors   Regression with Endogenous Explanatory Variables   Potential IV Challenges even with RCTs

System Ordinary Least Squares

Write your own System OLS in Mata

Seemingly Unrelated Regression - with Correlated Errors   R-squared   Multivariate Least Squares - Multi-Step Estimator and Correlated Explanatory Variables

Unobserved Effect Models

Unobserved fixed effects model

Unobserved effects model - extensions

A brief look at fe vs re

Robust Hausman Test

Robust Hausman Test Fail?   Interpreting the Control Function Coefficient

Correlated Random Coefficients

Average Treatement Effects and Correlated Random Coefficients   Random Coefficients with IFGLS and MLE

Random Coefficients   HLM comparison with OLS - 2 levels, random coefficient on constant   Hierarchical linear modelling   Choosing an appropriate level of analysis

Instrumental Variables   Many Forms of Instrumental Variables   The Weak Instrument Problem   Testing the Rank Condition of IV Estimators   2SQreg IVqreg Cfqreg - zombies

Censored Regression   Dependent variable is bottom coded   Asymmetric Error with Right and Left Sensoring   Tobit Normality Assumption Fail - Tobit Still Works   Cragg's Double hurdle model used to explain censoring

Quantile Regression   Program your own quantile regression v1 - Maximum Likelihood   Quantile Regression Fail   Oh wait! Quantile regression wins!   2SQreg IVqreg Cfqreg - zombies   Quantile Regression (qreg) is invariant to non-decreasing transformations

Random Coefficients   Estimating Random Coefficients on X (using xtmixed)   Estimating Random Coefficients on X (using NormalReg -preferred)

Estimating Random Coefficients in a panel data

Binary Response Models

Reverse Engineering a Probit

Average Partial Effects   Probit vs Logit   Simulating Multinomial logit in Stata

Non-linear least squares

Non-Linear Least Squares (M-estimation)   R vs Stata Non-linear least squares!   Power Analysis with Non-Linear Least Squares: A Simulation Approach

Simultaneous Equations   Demand Simulation and Estimation

Bootstrapping   Write your own estimator and bootstrap the standard errors   Write your own bootstrap command   Stata - Write your own "fast" bootstrap   Bootstrapping Percentile Count Vs. Standard Error Approximation

Regression Discontinuity   Sharp Regression Discontinuity Example and Limitations   Non-Parametric Regression Discontinuity

Non-random Selection

Inverse Probability Weighting to Correct for Sample Selection/Missing Data

My Own Tools (No Theory Backing Them)   Breaking down R2 by variable   Sticky Probit - clustered bootstrapped standard errors   Non-Parametric PDF Fit Test   Test of PDF Fit - Does not work

Power Analysis   Power Analysis with Non-Linear Least Squares: A Simulation Approach

Micro Simulations:   Selection Bias in the use of Fertilizer   Estimating Supply

Demand Simulation and Estimation

Estimating demand (AIDS model)

Misspecified Cobb Douglas Demand Model

Production Possibility Frontier: Simulation & Estimation   Commodity Demand Estimation - Fish Demand

Logistic Regression   Logistic or Logit or doesn't matter   Simulating Multinomial Logit

Path Analysis   Path Analysis

Miscellaneous Topics

Special Topics

Value-added modelling iPad example

Estimating VAMs Value Added Methods (models)

Social network analysis simulation - contagious depression

2012 Election! Simulation and predictions. Obama wins 91% of simulated outcomes

Dynamic Simulations:

Spatial malaria epidemiology infection model

Zombie Invasion - spatial multi-agent system simulation   Werewolf attack - spatial multi-agent system basic artificial intelligence

Exporting Results for Publication   Creating Professional Tables Using Estpost   Professional Post Estimation Tables Using Estout

Psychometrics

Classical Methods

Cronbach's alpha   The True Test Score World   Relating Classics Test Theory Parameters to IRT Parameters   Strictly Parallel Tests Classical Test Theory Results

R & Stata Bridge

Commands in Stata and R   7 commands in R & Stata

R vs Stata Non-linear least squares!   Nested functions in R and Stata   Stata is to Accounting as R is to Tetris

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