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From |
"Martin Halla" <[email protected]> |

To |
<[email protected]> |

Subject |
RE: RE: RE: st: kronecker product - matsize |

Date |
Tue, 01 Feb 2005 16:17:02 +0100 |

thank you very much david, martin h ------------------------------------------- Martin HALLA Department of Economics Johannes Kepler University Linz Altenbergerstr. 69 A-4040 Linz, Austria [email protected] Tel.: +43-732-2468-8219 Fax: +43-732-2468-2-8219 http://www.econ.jku.at/ ------------------------------------------- >>> [email protected] 02/01/05 4:01 pm >>> Martin Halla <[email protected]> wrote that - matrix glsaccum- only solves part of the problem. Martin needs to compute matrix B = inv((z*inv(z'z)*z'x)'*(inv(sigma)#In)*x) * /// (z*inv(z'z)*z'x)'*(inv(sigma) # In)*y which is difficult since z is N by p, x is N by k and y is N by 1. Martin used -matrix accum- to compute ZZ=z'z ZX=z'x yielding matrix B = inv((z*inv(ZZ)*ZX)'*(inv(sigma)#In)*x) * /// (z*inv(ZZ)*ZX)'*(inv(sigma) # In)*y Defining W = (z*inv(ZZ)*ZX) cause the problem to become B = inv(W'*(inv(sigma)#In)x)*W'(inv(sigma)#In)*y which could computed using -matrix glsaccum-, if we had the variables that make up the matrix W. To obtain W, Martin can let each column of inv(ZZ)*ZX be vector that we will call h. Martin can then transpose h, so it is now a row vector, make the row names of h equal to names of the variables in z and then use -matrix score- to compute a new variable. After doing this for each column of inv(ZZ)*ZX, he will have created the variables in W With the W variables in hand, Martin now needs to compute W'(inv(sigma)#In)x and W'(inv(sigma)#In)y which can be computed using -matrix glsaccum-. (To get W'(inv(sigma)#In)x from -matrix glsaccum- include the W and the x variables in the varlist and then grab the upper-right block of the resulting matrix.) -David [email protected] * * 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/ * * 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/

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