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

To |
statalist@hsphsun2.harvard.edu, Stuart Jordan <sjordan@Princeton.EDU> |

Subject |
Re: st: simple matrix calculations |

Date |
Wed, 05 Feb 2003 00:11:29 +0000 (GMT) |

You want to use matrix accumulate. If X is n by k1, and Z is n by k2, then mat accum XZ = X Z, nocons (assuming that you already have or don't need a constant column) results in the (k1+k2) by (k1+k2) cross-product matrix called XZ. The upper-left-hand k1 by k1 block of XZ is X'X, the lower-right-hand k2 by k2 block of XZ is Z'Z, and the off-diagonal blocks (k1 by k2 and k2 by k1) are X'Z and Z'X. Hope this is what you are looking for.... --Mark Quoting Stuart Jordan <sjordan@Princeton.EDU>: > I am trying to find a simple way to compute X'Z in stata where X is > an n > by k matrix, and Z is an n by l matrix with k>=l, and where these > matrices are made up of columns of observations from my dataset. > The > stata programming manual makes it sound as if this should be > straightfoward using one of the matrix accum commands...but the > only > ways I've been able to figure out how to do it with these commands > require a burdensome amount of complicated code. > > I'm not able to do this using the mkmat command because my dataset > is > too large given stata 8's maximum matsize of 800. > > In case it matters, the application I want to use this for is to > compute > X'Z where X is a matrix of observations on a set of exogenous > regressors > and instruments and Z is a matrix of observation on a set of the > same > exogenous regressors and a set of endogenous regressors. > > Even though I could do this in Matlab or Gauss easily, I use stata > more > often, so would like to learn how to do it there. > > Thanks, > > Stu Jordan > > * > * 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 Schaffer Director, CERT Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS tel +44-131-451-3494 / fax +44-131-451-3008 email: m.e.schaffer@hw.ac.uk web: http://www.sml.hw.ac.uk/ecomes ________________________________________________________________ DISCLAIMER: This e-mail and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom it is addressed. If you are not the intended recipient you are prohibited from using any of the information contained in this e-mail. In such a case, please destroy all copies in your possession and notify the sender by reply e-mail. Heriot Watt University does not accept liability or responsibility for changes made to this e-mail after it was sent, or for viruses transmitted through this e-mail. Opinions, comments, conclusions and other information in this e-mail that do not relate to the official business of Heriot Watt University are not endorsed by it. ________________________________________________________________ * * 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: simple matrix calculations***From:*Stuart Jordan <sjordan@Princeton.EDU>

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