Dear Statalisters,

I am having a panel data of some quality indicators say ind1 ind2 it's up to ind8 and some macro variables like productivity, GDP, inflation etc. I would need a stata code that solves the Stochastic Optimization problem, by creating a new variable for each indicator, perhaps discrete and continuous for each period for each indicator included, such that it would Stochastically optimize each indicator by finding the optimal value of each indicator created by bringing the productivity (or if desired also the gdp) to its potential value estimated with the HP filter.
Once this is done, another datum can be created, that is the indicator gap, and consecutively the cost of output for the indicator and so on for the other variables could be calculated. The same problem should be solved to find the optimal type of the other quality indicators by answering the same questions as above. I hope this is clear to you.
Any help is appreciated
Best
Mario Ferri