Blog

Using PyTorch for Maximum Likelihood Estimation

maximum likelihood

gpu

pytorch

autograd

rocm

This post investigates using pytorch for econometric research in a maximum likelihood setting. Packages like torch-choice (designed to run discrete choice or multinomial…

The Gordon Schaefer Model

ipython

econ322

pubp622

bioeconomic

Note: this post has been updated for newer versions of python. Content-wise it is mostly identical to the earlier version except for some minor editorial changes. You can…

Using stata_kernel and Jupyter Lab (or Notebook) for reproducible research goodness

stata

jupyter lab

The method outlined in this post is in my opinion the very best way to run Stata and generate dynamic and reproducible research documents that you can share with co-authors…

Using stata_kernel and Emacs Orgmode for reproducible research goodness

stata

orgmode

This post is hopefully the last in a series of posts outlining how to use Stata in a proper dynamic document/reproducible research setting using Emacs. As of the summer of…

Tensorflow ROCM Performance for Probabilistic Programming

tensorflow

radeon

rocm

This post investigates the Tensorflow ROCM (AMD) library for econometric problems. We perform various comparisons of operations that might be used for econometric…

Tensorflow with Custom Likelihood Functions

tensorflow

likelihood

mcmc

maximum likelihood

This post builds on earlier ones dealing with custom likelihood functions in python and maximum likelihood estimation with auto differentiation. This post is approaching…

Make matplotlib histograms look like R’s

R

ipython

matplotlib

I prefer the look of R's histograms. This short post pulls together some resources for mimicking R histograms in Matplotlib.

Teaching with Stata

stata

jupyter

reproducible research

literate programming

This post skews towards recommending the stata add-on "markstat". For most of my students this is still recommended. For those that have some python interest/skills and…

Monte Carlos, Random Number Generation, and Parallel Processing in Python

ipython

multiprocessing

monte carlo

Monte Carlo analysis is a big part of my research: for testing the properties of new estimators or for debugging code. Computers with multiple processors and cores offer a…

Using Autograd for Maximum Likelihood Estimation

autograd

ipython

maximum likelihood

Thanks to an excellent series of posts on the python package autograd for automatic differentiation by John Kitchin (e.g. More Auto-differentiation Goodness for Science and…

Stata and Literate Programming in Emacs Org-Mode

stata

emacs

orgmode

reproducible research

****Important Note:**** The following post is outdated and is no longer the recommended approach for running stata in orgmode. Please see this post on using emacs with jupyter…

Maximum Likelihood Estimation in Stata

This is a short post on the mechanics of maximum likelihood estimation in Stata.

Interactive Sampling for High Dimensional Markov Chains

python

pymc3

In this blog post I outline some methods I have used for MCMC sampling with problems having many random variables. These are the kind of problems where memory requirements…

Estimating Custom Maximum Likelihood Models in Python (and Matlab)

ipython

matlab

maximum likelihood

In this post I show various ways of estimating "generic" maximum likelihood models in python. For each, we'll recover standard errors.

Reproducible Research and Literate Programming for Econometrics

emacs

orgmode

stata

python

matlab

reproducible research

Jump straight to the discussion on Stata and Emacs Org Mode

Part II: Comparing the Speed of Matlab versus Python/Numpy

matlab

ipython

In this note, I extend a previous post on comparing run-time speeds of various econometrics packages by

Comparing the Speed of Matlab versus Python/Numpy

matlab

ipython

Update 1: A more complete and updated speed comparison can be found here.

Tapping MariaDB / MySQL data from Ipython

ipython

mariadb

mysql

In this short post, I will outline how one can access data stored in a database like MariaDB or MySQL for analysis inside an Ipython Notebook. There are many reasons why you…

Comparing Stata and Ipython Commands for OLS Models

stata

ipython

econometrics

bootstrap

In this note, I’ll explore the Ipython statsmodels package for estimating linear regression models (OLS). The goal is to completely map stata commands for reg into something…

Running R and Matlab Commands in an Ipython Notebook

ipython

matlab

R

The ipython notebook environment is a superb environment for empirical research. Sometimes, though, you would like to access the capabilities of other software. This post…