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From |
Venable <venablito@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: re: Efficient, foolproof calculation of matrix quadratic form with |

Date |
Fri, 25 Sep 2009 12:12:55 -0400 |

Thanks Kit. I agree that creating an NTxNT matrix would be wasteful. I was just hoping there was a way to avoid doing that while maintaining something close to the simplicity of the one-line, no-loops Kronecker way. (In fact, I believe your ISP book points out that matrix ops are often preferable to long loops. I guess this is an exception!) It seem that summation is indeed the simplest way, so I will proceed with that and try to get it right. Again, many thanks. On Fri, Sep 25, 2009 at 11:16 AM, Kit Baum <baum@bc.edu> wrote: > <> > Venable said > > Alternatively, I know that I could do the sum of the N terms > Xn'*Om_Inv_Block*Xn but I am worried that I would somehow mess this > up. So, another solution, I suppose, would be some idiot-proof way to > do this sum. > > This is very similar to the problem of calculating the -sureg- estimator > (with the difference that in -sureg- there is no constraint that the X > matrices have the same number of columns). The -suregub- routine codes > -sureg- in Mata and avoids creating the monster matrix by doing the above > sum. It really isn't that hard to set up that loop, and if you think about > it, it is incredibly wasteful to be calculating the full matrix (even if > memory is not an issue) given the block-diagonal structure implied by the > Kronecker. You may find the -suregub- code in the downloadable materials > related to ITSP below. That routine implements -sureg- for the special case > where T is not necessarily equal, but it also works fine if all equations' T > values are the same. > > Kit > > Kit Baum | Boston College Economics & DIW Berlin | > http://ideas.repec.org/e/pba1.html > An Introduction to Stata Programming | > http://www.stata-press.com/books/isp.html > An Introduction to Modern Econometrics Using Stata | > http://www.stata-press.com/books/imeus.html > > * > * 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/ > * * 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/

**Follow-Ups**:**Re: st: re: Efficient, foolproof calculation of matrix quadratic form with***From:*Stas Kolenikov <skolenik@gmail.com>

**References**:**st: re: Efficient, foolproof calculation of matrix quadratic form with***From:*Kit Baum <baum@bc.edu>

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