Advanced Stata Topics CEP and STICERD London School of Economics Lent Term 2009 Alexander C. Lembcke eMail: [email protected] Homepage: http://personal.lse.ac.uk/lembcke This is an updated version of Michal McMahon’s Stata notes. He taught this course at the Bank of England (2008) and at the LSE (2006, 2007). It builds on earlier courses given by Martin Stewart (2004) and Holger Breinlich (2005). Any errors are my sole responsibility. Full Table of contents PROGRAMMING ....................................................................................................................................................... 4 GOOD PROGRAMMING PRACTICE ................................................................................................................................ 4 PROGRAMMING BASICS .............................................................................................................................................. 5 Macros .................................................................................................................................................................. 5 Macro contents ..................................................................................................................................................... 8 Text ....................................................................................................................................................................... 8 Statements ............................................................................................................................................................. 8 Numbers and expressions ..................................................................................................................................... 9 Manipulation of macros ....................................................................................................................................... 9 Deferred macro evaluation and advanced macro usage .................................................................................... 10 Temporary objects .............................................................................................................................................. 10 Looping ............................................................................................................................................................... 11 for ....................................................................................................................................................................... 11 foreach and forvalues ......................................................................................................................................... 12 Combining loops and macros ............................................................................................................................. 14 Repeating commands using Stata’s inbuilt functions. ........................................................................................ 15 Branching ........................................................................................................................................................... 17 WRITING STATA PROGRAMS .................................................................................................................................... 19 Creating or “defining” a program ..................................................................................................................... 19 Macro shift (number of loops is variable) .......................................................................................................... 20 Naming a program ............................................................................................................................................. 21 Debugging a program ........................................................................................................................................ 21 Program arguments ............................................................................................................................................ 22 Renaming arguments .......................................................................................................................................... 22 Programs with return values and other options ................................................................................................. 24 Help files and publishing programs ................................................................................................................... 28 MAXIMUM LIKELIHOOD METHODS ........................................................................................................................... 31 Maximization theory ........................................................................................................................................... 31 Creating the first ml estimation .......................................................................................................................... 32 Specifying the gradient and Hessian by hand ..................................................................................................... 34 Extension to non-standard estimation ................................................................................................................ 37 Utilities to check our estimation ......................................................................................................................... 39 Flexible functional forms and constraints .......................................................................................................... 42 Further reading .................................................................................................................................................. 43 MATA ....................................................................................................................................................................... 44 What is Mata and why bother? ........................................................................................................................... 44 Mata basics ......................................................................................................................................................... 44 Object types ........................................................................................................................................................ 48 Precision issues ..................................................................................................... Error! Bookmark not defined. Stata data in Mata .............................................................................................................................................. 49 Sorting and permutations ................................................................................................................................... 50 Mata functions .................................................................................................................................................... 53 Returning values .................................................................................................... Error! Bookmark not defined. Looping and branching ...................................................................................................................................... 55 Using structures or pointers instead of macro tricks.......................................................................................... 56 Mata’s optimize command .................................................................................................................................. 57 Some programs ...................................................................................................... Error! Bookmark not defined. Page 2 of 61 Course Outline This course is run over 8 weeks during this time it is not possible to cover everything – it never is with a program as large and as flexible as Stata. Therefore, I shall endeavor to take you from a position of complete novice (some having never seen the program before), to a position from which you are confident users who, through practice, can become intermediate and onto expert users. In order to help you, the course is based around practical examples – these examples use macro data but have no economic meaning to them. They are simply there to show you how the program works. There will be some optional exercises, for which data is provided on my website – http://personal.lse.ac.uk/lembcke. These are to be completed in your own time, there should be some time at the end of each meeting where you can play around with Stata yourself and ask specific questions. The course will follow the layout of this handout and the plan is to cover the following topics. Week Time/Place Activity Week 1 Tue, 17:30 – 19:30 (S169) Getting started with Stata Week 2 Tue, 17:30 – 19:30 (S169) Database Manipulation and graphs Week 3 Tue, 17:30 – 19:30 (S169) More database manipulation, regression and post-regression analysis Week 4 Tue, 17:30 – 19:30 (S169) Advanced estimation methods in Stata Week 5 Tue, 17:30 – 19:30 (S169) Programming basics in Stata Week 6 Tue, 17:30 – 19:30 (S169) Writing Stata programs Week 7 Tue, 17:30 – 19:30 (S169) Maximum Likelihood Methods in Stata Week 8 Tue, 17:30 – 19:30 (S169) Mata I am very flexible about the actual classes, and I am happy to move at the pace desired