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Source: Stata Blogs - Econometrics By Simulation
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
连享会计量方法专题……
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
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 (RDD)
- 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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