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From |
Richard Williams <Richard.A.Williams.5@nd.edu> |

To |
statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu |

Subject |
Re: st: How to estimate var-cov matrix from data |

Date |
Sun, 15 Feb 2004 23:20:17 -0500 |

At 07:57 PM 2/15/2004 -0800, wei liu wrote:

Try -help mataccum-Hi, I have a very easy question to ask. I have two random variables with 1000 observations each. How can I generate the variance-covariance matrix for them? I wanna save this matrix as a matrix variable for further use. Is there a simple way to do so? Can I further generalize this method for higher dimension? Thanks a lot! Wei

The commands would be something like

. mat accum cov = x y, noconstant deviations

(obs=1000)

. mat cov = cov/(_N-1)

. mat list cov

symmetric cov[2,2]

x y

x 9.0365155

y 3.0502898 3.982194

To confirm that you did it right,

. corr x y, cov

(obs=1000)

| x y

-------------+------------------

x | 9.03652

y | 3.05029 3.98219

You can do it with more than 2 variables; and you can make things more complicated by using if, in and weights parameters.

-------------------------------------------

Richard Williams, Notre Dame Dept of Sociology

OFFICE: (574)631-6668, (574)631-6463

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**Follow-Ups**:**Re: st: How to estimate var-cov matrix from data***From:*Philip Ryan <philip.ryan@adelaide.edu.au>

**References**:**st: New Variables with averages of old ones***From:*"Guest g2inst" <g2inst@ilo.org>

**st: How to estimate var-cov matrix from data***From:*wei liu <rollinliu_2000@yahoo.com>

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