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

From   Philip Ryan <[email protected]>
To   [email protected]
Subject   Re: st: How to estimate var-cov matrix from data
Date   Mon, 16 Feb 2004 15:27:07 +1030

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.


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

At 07:57 PM 2/15/2004 -0800, wei liu wrote:

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!

Try -help mataccum-

The commands would be something like

. mat accum cov = x y, noconstant deviations

. 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

| 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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