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st: Programming interface to reg ?


From   Thomas Cornelißen <cornelissen@ewifo.uni-hannover.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Programming interface to reg ?
Date   Wed, 29 Nov 2006 09:31:00 +0100

Dear Statalisters,
I wish to estimate the model y = X b + e by OLS.
I have a program that creates the matrices X'X and X'y of my problem in an efficient way (loading the whole X matrix into the memory would be inefficient because it is sparse).

My question is: After having constructed X'X and X'y (the system of normal equations) can I provide these to Stata and tell it to do with it everything it uses to do when it computes OLS estimates with the -reg- command? And also use the options of -reg-?
If it is not possible at the step of X'X and X'y, then maybe can I use some options of -reg- even after I have estimates of b and Var(b) at my disposal ? (My main concern is getting clustered or robust standard errors.)

Thanks for any suggestions!
Thomas

-------------------------------------------------------------------------
Thomas Cornelissen
Institute of Empirical Economic Research
Leibniz Universität Hannover, Germany
cornelissen@ewifo.uni-hannover.de
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