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Re: st: RE: Re: corr() with weights, -by-


From   Philipp Rehm <philipp.rehm@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Re: corr() with weights, -by-
Date   Sun, 08 Jun 2008 17:54:36 +0200

.
Thanks, Nick.
That's a good idea, too.
I haven't compared the efficiency of Michael's and your solution. But given that I have 162 county-years with a total of around 3.5 million observations, either solution should be much much more efficient than my -levelsof- approach.

Thanks again. Much appreciated!
Philipp

Nick Cox wrote:

On the other hand, if you want the covariances alongside the data, this
approach is cleaner than recourse to -levelsof-:
gen cov = . egen group = group(country year) su group, meanonly
quietly forval i = 1/`r(max)' { corr x l2.x [aw=weight] if group == `i', cov replace cov = r(cov_12) if group == `i' }
See also
FAQ . . . . . . . . . . Making foreach go through all values of a
variable
8/05 Is there a way to tell Stata to try all values of a
particular variable in a foreach statement without
specifying them?
http://www.stata.com/support/faqs/data/foreach.html

However, -statsby- and then using -merge- may be just as efficient.
Nick n.j.cox@durham.ac.uk

Michael Blasnik

...
You want the -statsby- command. Something like this work:

statsby cov=r(cov_12), by(year country) : corr x l2.x [aw= weight], cov

Philipp Rehm


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.
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