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st: Drawing multiple variables with fixed correlations to an existing variable and to each other


From   Rachel <academicgirl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Drawing multiple variables with fixed correlations to an existing variable and to each other
Date   Wed, 15 Aug 2007 17:01:52 -0400

Thanks, Paulo.  Here is a somewhat more complicated question:

Is there a way to generate several variables with a given correlation
matrix given a single variable.  Again I have an existing variable x1,
which is distributed as a
standard normal.  I'd like to generate x2 and x3 such that
corr(x1,x2)=p1 and corr(x1,x3)=p2 and corr(x2,x3)=p3.

Assume the resulting correlation matrix is positive definite.  If it's
possible to achieve this correlation matrix given the x1, can Stat do
this?

The rationale behind this is that I'm trying to generate a set of
variables x1,x2,x3 that have a certain correlation structure, but only
for those cases in which x1+c>0  (where c is a predefined number).  If
there is a more direct way to do this, please let me know.

Thank you again,
Rachel

On 8/15/07, Paulo Guimaraes <guimaraes@moore.sc.edu> wrote:
> Rachel,
>
> If you want a new normal variable that on average has, say 0.5
> correlation, then you can easily do that:
>
> clear
> set obs 10000
> local corr=0.5
> gen x1=invnorm(uniform())
> quietly sum x1
> local sz=r(sd)
> local mz=r(mean)
> local s2=`sz'^2*(1/`corr'^2-1)
> gen x2=x1+sqrt(`s2')*invnorm(uniform())
> corr x1 x2
>
>
> Paulo Guimaraes
>
>
> Rachel wrote:
> > Suppose I have an existing variable x1, which is distributed as a
> > standard normal.  I wish to create a new variable x2 (also standard
> > normal) such that corr(x1,x2)=0.5.  ?Is there a way to do this in
> > Stata?
> >
> > Thanks,
> > Rachel
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