[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Christopher Baum <[email protected]> |

To |
[email protected] |

Subject |
st: Re: weights from regressor matrix |

Date |
Tue, 8 Apr 2003 07:20:10 -0400 |

On Tuesday, April 8, 2003, at 02:33 AM, Jesper wrote:

I am trying to use some of STATA's matrix commands, but do not really succeed, and hope some of you can give me a hint.I think if you write out the w vector, you will find that it may be computed by the

For my dataset I need a weighting factor (for every observation) calculated as

w=xi'(X'X)^-1 *xi, where X is a n*k matrix of all variables and all observations, and xi is a k*1 vector with the variable-values for a single observation. The middle part, (X'X)^-1, I can build using "matrix accum", but I can't get STATA to build a n*1 vector for every observation to pre- and postmultiply it with. Hope some of you might a suggestion.

following:

webuse auto,clear

mkmat price mpg headroom trunk, mat(x)

mat wfull = x*syminv(x'*x)*x'

mat iota = J(rowsof(wfull),1,1)

mat wt = wfull*iota

svmat wt

summ wt

list wt

This is ugly, in that it generates a n x n matrix and uses only the diagonal, but that is much cleaner than extracting each row of x in a loop.

Kit

*

* For searches and help try:

* http://www.stata.com/support/faqs/res/findit.html

* http://www.stata.com/support/statalist/faq

* http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**st: RE: copy values of matched cases** - Next by Date:
**st: max value** - Previous by thread:
**st: best subsets regression** - Next by thread:
**st: max value** - Index(es):

© Copyright 1996–2024 StataCorp LLC | Terms of use | Privacy | Contact us | What's new | Site index |