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
>
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