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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 15 Jun 2010 22:35:39 -0400 |

So basically you need to write a good evaluator for optimize, right? The easiest thing to do would be the d0-type evaluator. It will take the vector of thresholds as parameters; it will also take two lists of variable names, one for the GDP (say "y") and another for the collection of the index components (say "X"). Then within the evaluator, you: 1. set up the views for y and X; 2. create the matrix of -1/0/1 based on the logical conditions for X (Z[.,k] = -1 + (X[.,k]>first threshold) + (X[,.k]>second threshold) 3. compute a bunch of -cross-es between y and Z 4. compute the correlation based on those cross-products. I imagine this will fit into about 20-30 lines of Mata code. On Tue, Jun 15, 2010 at 5:09 PM, Ryan McCann <rmccann@keybridgeresearch.com> wrote: > 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 > > > > * > * 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/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**References**:**st: Maximizing correlation based on data resulting from an alogrithm containing conditional statements***From:*Ryan McCann <rmccann@keybridgeresearch.com>

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