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st: RE: RE: Cholesky decomposition of residuals covariance matrix after xtmixed


From   "Fotios Drenos" <f.drenos@ucl.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Cholesky decomposition of residuals covariance matrix after xtmixed
Date   Sun, 5 Dec 2010 13:35:53 -0000

Hi Nick,
Thank you for the reply but I am still not sure how MATA will help. The
xtmixed command will not return the residuals covariance matrix of the model
for the Cholesky decomposition. Do you mean predicting the matrix getting
into MATA, exporting to STATA and apply the Cholesky command? Is there an
alternative? Can you give an example using the pig data from STATA?

Best wishes
Fotios

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
Sent: 03 December 2010 18:08
To: 'statalist@hsphsun2.harvard.edu'
Subject: st: RE: Cholesky decomposition of residuals covariance matrix after
xtmixed

Use Mata, not Stata [sic]. 

Nick 
n.j.cox@durham.ac.uk 

Fotios Drenos

I am running a mixed linear model using the xtmixed command and I would like
to apply a Cholesky decomposition on the covariance matrix of the model
residuals. Is this possible in STATA? Is there a workaround?

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