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Re: st: how to write byable programs that call mata?


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: how to write byable programs that call mata?
Date   Mon, 6 Aug 2012 01:58:26 -0700

This is not hard to do. The only thing that you need to check is
whether the variables that you will be using to store the results are
already defined. Here is a program and script that does what you want

*-------------------------------------------------
clear*
// define the program
cap program drop linproj
program define linproj, byable(recall)
	version 12
	syntax varlist(min=1) [if] [in], GENerate(string ) ///
		[VARiance(varname )]
	foreach x of varlist `varlist' {
		cap confirm new variable `generate'`x'
		if !_rc {
			g `generate'`x' = .
		}
		local genvarlist "`genvarlist' `generate'`x'"
	}
	marksample touse
	if ("`variance'"~= "") {
		mata: fnLinProj(st_local("varlist"), ///
			st_local("touse"), st_local("genvarlist"), ///
				st_local("variance"))
	}
	else {
		mata: fnLinProj(st_local("varlist"), ///
			st_local("touse"), st_local("genvarlist"))	
	}
end

cap mata mata drop fnLinProj()
mata
// define the Mata function
function fnLinProj(string scalar sVarList, string scalar sToUse,
string scalar sGenVarList, | string scalar sVarianceVar) {
	st_view(mX=., ., sVarList, sToUse)
	if (args()==4) {
		st_view(vVarianceVar, ., sVarianceVar, sToUse)
		mVariance = diag(1:/vVarianceVar)
		mXProj = mVariance*mX*invsym(mX'*mVariance*mX)
	}
	else {
		mXProj = mX*invsym(mX'*mX)  // the required matrix
	}
	st_store(., tokens(sGenVarList), sToUse, mXProj)
}
end

// generate some dummy data
set obs 100
drawnorm x1-x5
forvalues i=1/5 {
	gen g`i' = rbinomial(1, 0.7)
}
egen guniq = group(g1-g5)
g variance = rchi2(10)

// test the program
bys guniq: linproj x1-x5, generate(proj_)
li proj_* guniq
bys guniq: linproj x1-x5, generate(proj2_) variance(variance)
li proj2_* guniq
*-------------------------------------------------


T

On Thu, Aug 2, 2012 at 4:52 PM, Pradipto Banerjee
<pradipto.banerjee@adainvestments.com> wrote:
> I'm new to mata and I have a problem for which I want to explore mata. I want to write a program for the following:
>
> 1.Inputs: (a) Stata variables are  X1, X2, ..., Xn, (b) optional: a Stata variable S, (c) grouping variables (i.e. _by()): G1, G2, ..., Gn
>
> 2. If S is not supplied, within each combination of G1, G2, ..., Gn, i.e. "by G1 G2 ... Gn:"
>         (a) within Mata, construct a matrix X = [X1 X2, ..., Xn]
>         (b) calculated a new matrix Y = X * inverse ( transpose(X) * X)
>         (c) let Y = [Y1, Y2, ..., Yn]
>         (d) return back to Stata, new variables Y1, Y2, ..., Yn
>
> 3. If S is supplied, within each combination of G1, G2, ..., Gn, i.e. "by G1 G2 ... Gn:"
>         (a) within Mata, construct a matrix X = [X1 X2, ..., Xn]
>         (b) construct a matrix V whose diagonal elements are same as S, i.e. V_{i,i} = S_i, V_{i,j} = 0
>         (c) invert matrix V, i.e. define V2 such that V2_{i,j} = 1/V_{i,j}
>         (d) calculate a new matrix Y = V2 * X * inverse ( transpose(X) * V2 * X)
>         (e) let Y = [Y1, Y2, ..., Yn]
>         (f) return back to Stata, new variables Y1, Y2, ..., Yn
>
> Can someone assist me with this?
>
> Many thanks.
>
>
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-- 
Tirthankar Chakravarty
tchakravarty@ucsd.edu
tirthankar.chakravarty@gmail.com

*
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