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st: Maximizing correlation based on data resulting from an alogrithm containing conditional statements


From   Ryan McCann <rmccann@keybridgeresearch.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Maximizing correlation based on data resulting from an alogrithm containing conditional statements
Date   Tue, 15 Jun 2010 17:09:59 -0400

After failing to do this in excel using the software's "solver" function, I
am now trying Stata.  I am creating a diffusion index to describe where GDP
may be going.  The diffusion index assigns a -1, 0, or 1 to 15 individual
components in a given month.  The difference in the percentage of components
with 1's and the percentage of components with -1's gives the index number.
I want to maximize the correlation between my index time series and a GDP
time series.  -1, 0, 1 values are assign based on a conditional statement
that test whether the raw values of the components are above, below, or
within some thresholds.  The threshold can be defined as one number for each
component.  I want to allow the thresholds to vary and maximize the
correlation of the Index and GDP on the vector of thresholds.  I know that
-optimize-  allows for optimization, but I don't see how it's possible to
include this multi-step algorithm that stands between the thresholds that I
want to allow to vary, and the correlation which is what I am trying to
maximize.

Your consideration is greatly appreciated.

Ryan McCann
Senior Analyst
Keybridge Research LLC
Office: 202.965.9487 | Mobile: 774.521.8874



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