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

[Philipp Rehm <philipp.rehm@gmx.de>]

.
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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