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st: matrix algebra
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.
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?
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