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From |
Alfonso MIranda <ecrgw@csv.warwick.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Matrix Algebra |

Date |
Mon, 7 Oct 2002 10:00:17 +0100 (BST) |

Note: Apologies if this mail comes out twice. Dear Statalisters, I am trying to estimate a count model with endogenous switching as proposed by Terza(1998). It involves the use of a two-step method of moments estimator. First stage is done using a probit and second stage is done using non-linear least squares. I basically have coded all but the correction for the covariance matrix. For calculating such a matrix I have to create an intermediate matrix that has the following general form: Y = A'*W*A A is nxk matrix and W is a nxn diagonal matrix with regression's squared errors in the diagonal and zeros elsewhere. Lets say that I have variables a1 a2 a3 forming matrix A. And that the squared errors are saved as variable res2. I have more than 20,000 observations in my dataset. Since it is not possible to create matrices of 20,000x20,000 in Stata, I was very kindly suggested by Michael Blasnik to use the weighting feature of matrix accum for calculating matrix Y. Basically he suggested to use: .mat accum a1 a2 a3 [aw=res], noc In order to check that this solution is correct I drop observations after estimating my model, and residuals, and kept only 200 observations. Then, as also kindly suggested by Nick Cox, I calculate matrix A and W in the following way: .mkmat a1 a2 a3, matrix(A) .local n = _N .matrix W = J(`n',`n',0) .forval i=1/`n' { W[`i',`i']=res2[`i'] } .matrix mymat = A'*W*A .matrix list mymat .symmetric mymat[3,3] a1 a2 a3 a1 62054.362 a2 60504.697 60504.697 a3 1004.4707 1004.4707 1004.4707 This matrix is what I want but with large data it cannot be calculated using Nick's suggestion. Now, using the weighting feature of matrix accum .matrix accum H = a1 a2 a3 [aw=res2], noc (sum of wgt is 2.4974e+03) (obs=200) .matrix list H symmetric H[3,3] a1 a2 a3 a1 4969.5487 a2 4845.4456 4845.4456 a3 80.441821 80.441821 80.441821 Clearly, mymat and H are different. Jiang, Tao very kindly suggested an alternative which would be: .sca m=10000 .matrix accum Z= a1 a2 a3 [fw=res2+m], noc .matrix accum Z2= a1 a2 a3, noc .matrix Z=Z1-m*Z2 however, since res2 is not a integer number, frequency weights cannot be estimated. I did what Jiang, Tao suggested using analytic weigths: sca m=10000 matrix accum Z1= g1c g1cat g1ind [aw=res2+m], noc (sum of wgt is 2.0002e+07) (obs=200) matrix accum Z2= a1 a2 a3, noc (obs=200) matrix Z=Z1-m*Z2 matrix list Z symmetric Z[3,3] a1 a2 a3 a1 -4.670e+08 a2 -4.438e+08 -4.438e+08 a3 -4512856 -4512856 -4512856 Which is also different to maymat. It seems then that all suggested strategies do not yield the matrix that I need. Does anyone has other idea? Many thanks, Alfonso Miranda University of Warwick * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: Re: Matrix Algebra***From:*"Michael Blasnik" <michael.blasnik@verizon.net>

**Re: st: Matrix Algebra***From:*Alfonso Miranda <ecrgw@csv.warwick.ac.uk>

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