On Tuesday, April 8, 2003, at 02:33 AM, Jesper wrote:
I am trying to use some of STATA's matrix commands, but do not really
succeed, and hope some of you can give me a hint.
For my dataset I need a weighting factor (for every observation)
calculated as
w=xi'(X'X)^-1 *xi, where X is a n*k matrix of all variables and all
observations, and xi is a k*1 vector with the variable-values for a
single observation. The middle part, (X'X)^-1, I can build using
"matrix accum", but I can't get STATA to build a n*1 vector for every
observation to pre- and postmultiply it with. Hope some of you might a
suggestion.
I think if you write out the w vector, you will find that it may be
computed by the
following:
webuse auto,clear
mkmat price mpg headroom trunk, mat(x)
mat wfull = x*syminv(x'*x)*x'
mat iota = J(rowsof(wfull),1,1)
mat wt = wfull*iota
svmat wt
summ wt
list wt
This is ugly, in that it generates a n x n matrix and uses only the
diagonal, but that is much cleaner than extracting each row of x in a
loop.
Kit
*
* 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/
