Statalist


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

st: corr() with weights, -by-


From   Philipp Rehm <philipp.rehm@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: corr() with weights, -by-
Date   Sun, 08 Jun 2008 14:42:50 +0200

Dear all,

I am looking for an efficient way to extract weighted covariances, for a by-able problem.

Currently, I am running a very inefficient loop (using a lot of -levelof-s and if-qualifiers), along these lines (my data is -tsset-):

corr x l2.x [aweight=weight] if year==`i' & country==`j', covariance

I then write the results [r(cov_12)] into a variable, again using if-qualifiers.

A much quicker way to do this is to use the corr() function (written by Nick Winter) from the egenmore package. It does exactly what I want, except that it does not accept weights.

I can also run something like:

bys country year: correlate(x l2.x) [aweight=weight], covariance

but r(C) leaves behind the covariance matrix only for the very last estimation.

So, ideally I am looking for a version of Nick Winter's corr() which accepts weights.

Any ideas / suggestions would be appreciated. I prefer a solution that works in Stata 9, but I do have access to Stata 10.

Thank you,
Philipp



*
* 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