Dear Tarik,

Stata is a statistical package that come with all modules. I searched for ANN in Stata unfortunately there is no module. I advise to use MATLAB.

Nothing I know of, but something might be out soon.

http://www.tstat.it/novita/conferenze/SUG2005/Pisati.pdf 

there is no support from StataCorp in this so you will have to depend on user written commands. In my opinion, at the moment, Matlab is the best tool for this (although expensive), followed by R.

There is currently no program written to perform neural network modeling in Stata. However a colleague of mine is currently writing a program for running regression trees. I am attaching his presentation from the 2014 Stata User's Conference in Boston

Dear Tarik,

I made a simple Google search (https://www.google.com/search?client=safari&rls=en&q=neural+networks+in+stata&ie=UTF-8&oe=UTF-8) regarding NN and Stata.  It has a rather limited support and you might, as colleagues suggested, use Matlab or R.  Additionally Mathematica has excellent NN embedded toolbox.  R as you well know is free and presents itself as a natural solution.  Here please find a comparison of a number of professional packages and what they support.

http://www.analyticbridge.com/group/productreviews2/forum/topics/product-reviews-comparing-r-matlab-sas-stata-spss?commentId=2004291%3AComment%3A165049&groupId=2004291%3AGroup%3A5297

Moreover, attached please find, a document that you might find interesting as related to your inquiry.

All the best

Mohsen

I just remembered that there is another user-written command in Stata that you may find helpful. chaid performs Chi-square automated interaction detection, and thus it operates much as any other decision tree/regression tree approach. You can download the program from within Stata by typing: ssc install chaid

Is Hidden Markov Model(HMM) in Mathlab? Im doing some work that requires HMM and Im not too sure of the best software tool to be used.

Thank you.