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st: matrices and linear transformations


From   "Paulo Regis" <[email protected]>
To   [email protected]
Subject   st: matrices and linear transformations
Date   Wed, 4 Jun 2008 17:17:05 +0100

Hello all,

I am having some problems creating weighted average variables. I
usually work with gauss and I would use matrix operations to do this.
In Stata, a similar procedure may be

mkmat x1-x5, mat(XMAT)
mkmat m1-m10, mat(MMAT)
mat WXMAT  = MMAT*XMAT
svmat WXMAT, names(mx)

In this example, you have five variables (x1-x5) with 10 observations
(_N=10) and ten variables (m1-m10) that are the weights. You end up
with five new variables (mx1-mx5) which are the weigthed average of
the original x variables. Alternatively, I have tried to use the
command egen (using the function total()), following this old tread

http://www.stata.com/statalist/archive/2002-08/msg00458.html

I modified the file "_gmean.ado" to introduce a weighting variable.
Working out the code, you can obtain mx1-mx5, however, you have to
modify the code for each variable.

The problem of the first alternative is that it takes a lot  of time.
This may become especially problematic if the number of observation is
large enough while the second alternative is not a "general" solution
(also, there are some efficiency problems since it creates several
unnecessary variables). There is any other alternative to do this?

Thank you,

Paulo
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