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From |
Nick Cox <n.j.cox@durham.ac.uk> |

To |
"'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Calculation of covariance matrix for unbalanced sample? |

Date |
Thu, 3 Nov 2011 12:30:22 +0000 |

-makematrix- (SJ) can do this. But it's better to use Stas' custom code, which is more direct. Nick n.j.cox@durham.ac.uk Stas Kolenikov I don't think there's any. I vaguely remember a discussion some time back on the list about this. Here's the basic outline from scratch: program define pwcovmat, rclasssyntax varlistunab vars : `varlist'local p : word count `vars'tempname Covmatrix `Cov' = J(`p',`p',.)matrix rownames `Cov' = `vars'matrix colnames `Cov' = `vars'forvalues i=1/`p' { forvalues j=`i'/`p' { local x : word `i' of `vars' local y : word `j' of `vars' quietly corr `x' `y', cov matrix `Cov'[`i',`j'] = r(C) matrix `Cov'[`j',`i'] = r(C) }}return matrix Cov = `Cov'end // of pwcovmat sysuse auto corr weight price mpg, cov corr weight price mpg rep, cov pwcovmat weight price mpg rep matrix list r(Cov) On Thu, Nov 3, 2011 at 6:00 AM, <S.Jenkins@lse.ac.uk> wrote: > A colleague has data on a relatively large number of variables. His > sample is unbalanced in the sense that each variable has some missing > values. He wishes to calculate the covariance matrix for his data but > without the listwise deletion of cases that is imposed by -correlation, > covariance- or -matrix accum-. > > My first thought was that he could use -pwcorr- and loop over his > variables, and build up his matrix from the saved results. But I thought > there must be an easier or more straightforward way -- but Googling and > -findit- have not suggested any. I guess there is a relatively easy > Mata solution, but I am currently unfamiliar with that route. > > Suggestions using Stata or Mata please * * 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: Calculation of covariance matrix for unbalanced sample?***From:*Cameron McIntosh <cnm100@hotmail.com>

**References**:**st: Calculation of covariance matrix for unbalanced sample?***From:*<S.Jenkins@lse.ac.uk>

**Re: st: Calculation of covariance matrix for unbalanced sample?***From:*Stas Kolenikov <skolenik@gmail.com>

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