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st: matrix algebra


From   "Alfonso Miranda" <ecrgw@csv.warwick.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: matrix algebra
Date   Tue, 1 Oct 2002 19:24:30 +0100

Dear statalisters,

I need to calculate a matrix product that has the following form

B = G'YG

where G is a n x k matrix and Y is a n x n diagonal matrix. My problem is:

(a) G should be formed with information for some variables, say, a1 a2 a3. I
have n observations for each variable.

(a) I have the information of the diagonal of Y in variable called e. So I
need to use e to create matrix Y.

(b) n is very large (more than 20,000 observations) so it is imposible to
create a nxn diagonal matrix  with elements in the diagonal entries in e.

I guess I need to use something like:

matrix glsaccum B = a1 a2 a3, glsmat(Y)

But first I must define Y. Can anyone help me in this one?

Many Thanks

Alfonso Miranda.

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