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Have you had a look at Mata yet? See Kit`s
http://www.stata.com/meeting/fnasug08/baum_StataMata.beamer.FNASUG08.pdf,
slide 50 for an example...
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Schnepf S.V.
Gesendet: Donnerstag, 18. Juni 2009 16:17
An: [email protected]
Betreff: st: Program for OLS regression coefficients using weights
Dear Statalist users,
I would need to write a programme that gives me the b coefficients of an OLS
regression, using weights.
This is an easy task if no weights are used with b being (X'X)-1(X'Y):
mat accum xprimex = x
mat vecaccum yprimex = y x
*Transpose
mat xprimey =yprimex'
mat b = inv(xprimex)*(xprimey)
mat list b
However, I would like to estimate b=(X'DX)-1 X'DY, hence applying design
weights.
D is now a diagonal weight matrix.
My sample size is considerably above 800 which creates problems with
matsize. And I find the command matrix glsaccum rather difficult to apply.
Could anyone help?
Many thanks
Sylke V. Schnepf
*
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*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
