Stata and Mata code for adaptive Markov chain Monte Carlo simulation; Stata code for Bayesian estimation of mixed logit models and mixed logit models in willingness-to-pay space, and truncated quantile regression models.
These are the materials that go along with the Stata Journal article (http://https://ideas.repec.org/a/tsj/stataj/v14y2014i3p623-661.html) on estimation and sampling using Markov chain Monte Carlo methods.
While most of the code is accessible through Stata (using the viewsource command), the exception is the compiled code used by the mata functions. The constructor file is included in this package as amcmc_04152014.do.