Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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


From   "Kristin J. Kleinjans" <kkleinjans@econ.dk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: Finding a vector minimizing the variance with Stata 8.2
Date   Mon, 17 Jul 2006 15:57:41 +0200 (CEST)

Hi Michael,
that seems obvious - sorry, I should have explained what I am trying to
do ...

I am trying to find a linear combination of random variables a1-a4 which
minimizes the variance. So I am trying to find weights w=(w1 w2 w3 w4)
such that a=w1*a1+w2*a2+w3*a3+w4*a4  subject to  w1+w2+w3+w4=1
has the lowest possible variance.

(I am estimating a structural model with overidentifiying restrictions
for the parameters I am interested in. I have 4 nonlinear combinations
of estimates for the parameter of interest. I get those using the nlcom
command.)

Hope this explains my problem better!
Thanks,
Kristin



> How about w=0?    ;)
>
> M Blasnik
>
> ----- Original Message -----
> From: "Kristin J. Kleinjans" <kkleinjans@econ.dk>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Monday, July 17, 2006 9:27 AM
> 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
>
> *
> *   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/



*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index