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st: Drawing a (positive-definite) correlation matrix


From   "Daniel Hoechle" <daniel.hoechle@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Drawing a (positive-definite) correlation matrix
Date   Mon, 15 May 2006 10:28:38 +0200

Dear all,

I would like to perform a Monte Carlo simulation with correlated,
normally distributed data. It seems to be tempting to use Stata's
-drawnorm- command. However, this is not possible because I do not yet
have a correlation matrix. Does anyone know how to generate a positive
(semi-) definite random correlation matrix with average correlation
avg_corr=x in Stata?

Or are there other ways to produce multivariate normal random numbers
with average correlation between the subjects/variables equal to x
(x!=0)?

Thanks a lot.

Daniel

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