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Re: st: Constructing matrix regressors with thousands of dummy variables


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Constructing matrix regressors with thousands of dummy variables
Date   Thu, 11 Apr 2013 14:36:29 +0100

It is a nice answer. Just to add a small note that the loops can be combined:

clear*
set obs 1000
local vars
forvalues i=1/1000 {
     local vars "`vars' a`i'"
     gen a`i'=runiform()
}

or that you could do this

clear*
set obs 1000
forvalues i=1/1000 {
     gen a`i'=runiform()
}
unab vars : a*

Nick
njcoxstata@gmail.com


On 11 April 2013 14:27, Matthew Baker <matthew.baker@hunter.cuny.edu> wrote:
> Dear Ivan --
>
> There are really two parts to your question - getting a large number
> of variables into mata, and then using the matrices. The first part
> can be handled by creating a local macro. Consider first making 1000
> fictional variables:
>
> // Start example
> clear*
> set obs 1000
> forvalues i=1/1000 {
> gen a`i'=runiform()
> }
>
> // Read into Mata using a local
>
> local vars
> forvalues i=1/1000 {
> local vars "`vars' a`i'"
> }
>
> mata: st_view(X=.,.,"`vars'")
>
> // Just check and see if everything is there!
>
> mata: rows(X),cols(X)
>
> // To compute inverse:
>
> mata: C=invsym(X'X)
>
> // end example
>
> I have, however, found that the transpose/multiplication and inversion
> steps can a) take a very, very long time for matrices larger than
> 5000X5000, and b) also create memory problems. So I don't know if the
> "invsym" step will work as you might hope!
>
> Hope that helps,
>
> Matt Baker
>
>
> On Mon, Apr 8, 2013 at 10:56 PM, Ivan Png <iplpng@gmail.com> wrote:
>> Dear Statalist
>>
>> I am researching the effects of various factors on mobility of
>> inventors. The dependent variable, M_it is an indicator = 1 if
>> inventor i changed employer in year t, else = 0.  The explanatory
>> variables include marital status, education level, and citizenship.  I
>> also include inventor, state, and year fixed effects.  Originally, I
>> simply estimated a linear probability model by areg with
>> absorb(inventor) and explanatory variables comprising married,
>> bachelor, citizen, i.state and i.year.
>>
>> However, the measure of mobility is subject to error.  Obviously, this
>> error cannot be classical.  For instance, if the observed M_it = 1 is
>> wrong, then the true M_it = 0.  I would like to apply the method of
>> Meyer and Mittag, U of Chicago (2012) to characterize the bias due to
>> the error.
>>
>> For this, I need to calculate the conditional expectation of the
>> matrix of explanatory variables, X, conditional on error in
>> measurement of M_it.  I have two data-sets, one with measurement error
>> and one without, so, I can identify the observations with error.
>>
>> Question:
>> How to construct the matrix, X, and the inverse matrix, (X'X)^-1?  The
>> online guides teach me how to construct a matrix when there are two or
>> three explanatory variables.
>>
>> . mata
>> : st_view(y= , , "mobility")
>> : st_view(X= , , "married", "bachelor", "citizen")
>>
>> But, in my case, I have dummies for 10,000 inventors plus the state
>> and year fixed effect.  The above method doesn't seem practical.
>>
>> Can I run areg and retrieve the X and inverse matrix, (X'X)^-1?
>>
>> May I please have your help?
>>
>>  -
>> Best wishes
>> Ivan Png
>> Skype: ipng00
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/faqs/resources/statalist-faq/
>> *   http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> Dr. Matthew J. Baker
> Department of Economics
> Hunter College and the Graduate Center, CUNY
> *
> *   For searches and help try:
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> *   http://www.ats.ucla.edu/stat/stata/
*
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