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st: RE: Finding a vector minimizing the variance with Stata 8.2


From   "Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Finding a vector minimizing the variance with Stata 8.2
Date   Mon, 17 Jul 2006 08:49:19 -0500

Kristin - I assume V is symmetric. You need to add a constraint to make
the solution to your problem unique and/or interesting. The most common
constraint is that w have unit length (w'w=1) in which case the solution
is the eignenvector associated with the minimum eigenvalue of V. -matrix
symeigen- will find it for you. Other constraints are also possible -
those will change the solution. If you don't put any constraint on and V
is positive definite, then w can be 0 to get the minimum - clearly this
is not what you want.

Al Feiveson

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kristin J.
Kleinjans
Sent: Monday, July 17, 2006 8:28 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Finding a vector minimizing the variance with Stata 8.2

Dear Statalist,
I need to find a vector w such that
X=w'V w is minimized, where V is a variance-covariance matrix. I use
Stata
8.2 - does anybody know if there is a way to do this?

Thank you,
Kristin


Kristin J. Kleinjans
University of Aarhus
Department of Economics
Building 322
8000 Aarhus C
Denmark
Phone: +45 8942 1624. Fax: +45 8613 6334
E-mail: kkleinjans@econ.au.dk
Website: www.econ.au.dk/vip_htm/kkleinjans/Default.htm



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