Re: st: How to estimate var-cov matrix from data

[Philip Ryan <philip.ryan@adelaide.edu.au>]

As an alternative to Richard's suggestion, Shannon Driver from StataCorp 
wrote a useful ado program called -corrmat-  (type  -findit 
corrmat-)  which does just what you want.

Phil

At 11:20 PM 15/02/2004 -0500, you wrote:

> At 07:57 PM 2/15/2004 -0800, wei liu wrote:
> > Hi,
> >
> > I have a very easy question to ask. I have two random
> > variables with 1000 observations each. How can I
> > generate the variance-covariance matrix for them? I
> > wanna save this matrix as a matrix variable for
> > further use. Is there a simple way to do so? Can I
> > further generalize this method for higher dimension?
> >
> > Thanks a lot!
> >
> > Wei
> Try -help mataccum-
>
> The commands would be something like
>
> . mat accum cov = x y, noconstant deviations
> (obs=1000)
>
> . mat cov = cov/(_N-1)
>
> . mat list cov
>
> symmetric cov[2,2]
>            x          y
> x  9.0365155
> y  3.0502898   3.982194
>
>
> To confirm that you did it right,
>
> . corr x y, cov
> (obs=1000)
>
>              |        x        y
> -------------+------------------
>            x |  9.03652
>            y |  3.05029  3.98219
>
> You can do it with more than 2 variables; and you can make things more 
> complicated by using if, in and weights parameters.
>
>
> -------------------------------------------
> Richard Williams, Notre Dame Dept of Sociology
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Philip Ryan
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