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st: RE: creating AR(1) correlation matrix


From   "Jacobs, David" <jacobs.184@sociology.osu.edu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: creating AR(1) correlation matrix
Date   Thu, 16 May 2013 15:13:16 +0000

A quick and maybe dirty way to do this is to run a population averaged, panel regression model with an AR1 term if that's appropriate. 

Then type -xtcorr- (there's a newer command but xtcorr still works at least in version 11).  You'll probably get the correlation matrix used to compute the AR1 correction.  I say probably because the matrix you want may be too large for this option.

Dave Jacobs

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Lachenbruch, Peter
Sent: Thursday, May 16, 2013 10:59 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: creating AR(1) correlation matrix

I need to create a correlatoin matrix of rho^(i-j) where i and j are row and column indexes.  Is there a simple command in Stata that will do htis?  I can do it in a foreach loop (although i've been messing it up so far).  This is for a simulation and the dimension of the correlation is 50 or 100 so i don't want to do it manually.


Peter A. Lachenbruch,
Professor (retired)
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