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From |
"Mark Schaffer" <M.E.Schaffer@hw.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Re: Matrix Algebra |

Date |
Mon, 7 Oct 2002 13:05:49 +0100 |

The manual recommends using iweights for this. See e.g. the discussion under _robust, which gives an example of the robust variance estimator calculated by hand. --Mark From: "Michael Blasnik" <michael.blasnik@verizon.net> To: <statalist@hsphsun2.harvard.edu> Subject: st: Re: Matrix Algebra Date sent: Mon, 7 Oct 2002 07:42:34 -0400 Send reply to: statalist@hsphsun2.harvard.edu > I should have looked in the manual before suggesting using aweight. > The manual states that the weights are normalized when using aweights > with mat accum. You can use pweights instead and get the answer you > seek. > > Michael Blasnik > > > ----- Original Message ----- > From: "Alfonso MIranda" <ecrgw@csv.warwick.ac.uk> > To: <statalist@hsphsun2.harvard.edu> > Sent: Monday, October 07, 2002 5:00 AM > Subject: st: Matrix Algebra > > > > 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/ Prof. Mark E. Schaffer Director Centre for Economic Reform and Transformation Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS UK 44-131-451-3494 direct 44-131-451-3008 fax 44-131-451-3485 CERT administrator http://www.som.hw.ac.uk/cert * * 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/

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

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