AMCMC: Stata module to provide Mata functions and structures for adaptive Markov chain Monte Carlo sampling

Matthew Baker

Statistical Software Components from Boston College Department of Economics

Abstract: amcmc is a collection of functions for performing adaptive Markov chain Monte Carlo sampling in Mata. Functions can be implemented as a Mata function, or using a series of structured commands. The function(s) can be used to sample from stand alone distributions, set up to work with models pre-programmed with moptimize or optimize, and set up to function as a step in a larger algorithm.

Language: Stata
Requires: Stata version 11.2 and Jann's moremata package from SSC (q.v.)
Keywords: Adaptive Markov chain Monte Carlo; Sampling from distributions. Adaptive MCMC (search for similar items in EconPapers)
Date: 2013-03-17
Note: This module should be installed from within Stata by typing "ssc install amcmc". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/l/lamcmc.mlib Mata object library (application/x-stata)
http://fmwww.bc.edu/repec/bocode/m/mf_amcmc.sthlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457613

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