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

To |
STATA LIST <statalist@hsphsun2.harvard.edu> |

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

Date |
Thu, 3 Nov 2011 12:50:48 +0000 |

I don't think it's anything formal. I'd just say "unbalanced". I suppose that I should just add that I know Stephen Jenkins very well and that I know he won't need a miniature warning on the fact that such a covariance matrix is a dodgy beast unlikely to be fit for further analysis and with unreliable eigenproperties and that he's fully capable of explaining that to his colleague, should the colleague need such a warning. Where's the reading list? I was fully expecting a dozen references. Nick n.j.cox@durham.ac.uk Cameron McIntosh Nick, Stas Just curious. What's the estimation method being applied below: EM, FIML, MI...? From: n.j.cox@durham.ac.uk > -makematrix- (SJ) can do this. But it's better to use Stas' custom code, which is more direct. 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>

**RE: st: Calculation of covariance matrix for unbalanced sample?***From:*Nick Cox <n.j.cox@durham.ac.uk>

**RE: st: Calculation of covariance matrix for unbalanced sample?***From:*Cameron McIntosh <cnm100@hotmail.com>

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