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st: help with matrix


From   Sjamsu <rahardjs@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: help with matrix
Date   Wed, 14 Apr 2004 18:23:29 -0700 (PDT)

Dear all

Has anybody written a program to estimate simultaneous
eqn. problem with selection like in Lee, Madalla, and
Trost (Econometrica 1980) ?

I'm trying to compute the following matrix to modify
2SLS standard error:

inv(X' X)* X' (Da - DaW*Omega*W' Da)X

But the problem is I have 4,000 cross-sectional
observations and have an Intercooled Stata. So I don't
how to perform matrix calculation with this size of
data.

Suppose that:

X  is a n*k matrix, where k is the number of variables
used in the right-hand side of the regression equation
(number of regressors).

Da is a n*n diagonal matrix with diagonal element ai
where n= 4,000
W is a n*l matrix
Omega is an l*l symmetric matrix

So far I can only get the Omega and compute inv(X'X)
using matrix accum and then using the inv command.

Many thanks in advance for your help.

Sjamsu






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