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Re: st: cholesky vs matpowersym for FGLS transformation in Mata


From   Gordon Hughes <G.A.Hughes@ed.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cholesky vs matpowersym for FGLS transformation in Mata
Date   Thu, 26 Apr 2012 10:18:07 +0100

Use -cholesky()-.

Routines for Cholesky decomposition are very efficient and numerically stable. Stata's version uses LAPACK code which is the best available. In practice, -matpowersym()- uses the eigenvalue/eigenvector decomposition, which is inherently more expensive than the Cholesky decomposition as it does not take advantage of the special structure of your problem.

Gordon Hughes
g.a.hughes@ed.ac.uk
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