How can I get the square roots of the diagonal elements in the covhat
matrix in the do file below? I am teaching a seminar that includes a
section on stata, and I am trying to replicate an example from a
textbook using stata. I am also struggling with the language to compute
R2. I apologize for these elementary questions; I did search for an
example, but if there was one, I didn't find it.
/* This example is from Griffiths, W.E., R. Carter Hill, and George G.
Judge, Learning and Practicing Econometrics, John Wiley and Sons, 1993.
Ch9 example. 52 weeks of observations */
clear
input y x1 x2 x3
123.1 1 1.92 12.4
124.3 1 2.15 9.9
89.3 1 1.67 2.4
141.3 1 1.68 13.8
112.8 1 1.75 3.5
108.1 1 1.55 1.8
143.9 1 1.54 17.8
124.2 1 2.1 9.8
110.1 1 2.44 8.3
111.7 1 2.47 9.8
123.8 1 1.86 12.6
123.5 1 1.93 11.5
110.2 1 2.47 7.4
100.9 1 2.11 6.1
123.3 1 2.1 9.5
115.7 1 1.73 8.8
116.6 1 1.86 4.9
153.5 1 2.19 18.8
149.2 1 1.9 18.9
89 1 1.67 2.3
132.6 1 2.43 14.1
97.5 1 2.13 2.9
106.1 1 2.33 5.9
115.3 1 1.75 7.6
98.5 1 2.05 5.3
135.1 1 2.35 16.8
124.2 1 2.12 8.8
98.4 1 2.13 3.2
114.8 1 1.89 5.4
142.5 1 1.5 17.3
122.6 1 1.93 11.2
127.7 1 2.27 11.2
113 1 1.66 7.9
144.2 1 1.73 17
109.2 1 1.59 3.3
106.8 1 2.29 7.1
145 1 1.86 15.3
124 1 1.91 12.7
106.7 1 2.34 6.1
153.2 1 2.13 19.6
120.1 1 2.05 6.3
119.3 1 1.89 9
150.6 1 2.12 18.7
92.2 1 1.87 2.2
130.5 1 2.09 16
112.5 1 1.76 4.5
111.8 1 1.77 4.3
120.1 1 1.94 9.3
107.4 1 2.37 8.3
128.6 1 2.1 15.4
124.6 1 2.29 9.2
127.2 1 2.36 10.2
end
* create y "matrix" (actually a vector but Stata doesn't create vectors)
mkmat y
matrix list y
* create X matrix (notice that I made it a cap X)
mkmat x1 x2 x3, matrix (X)
matrix list X
* create X'X matrix - xprimex
matrix xprimex= X'*X
matrix list xprimex
* create X'y matrix - xprimey
matrix xprimey=X'*y
matrix list xprimey
* create (X'X)-1 matrix - inverseX
matrix inverseX=inv(xprimex)
matrix list inverseX
* create least squares estimates - b
mat b=inverseX*xprimey
matrix list b
* create least squares residual - ehat
matrix ehat=y-X*b
matrix list ehat
* create variance estimate - sigma2hat
matrix sigma2hat=(ehat'*ehat)/(52-3)
matrix list sigma2hat
*__________________________________________________
*NEED HELP!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
* create estimated covariance matrix - covhat
matrix covhat=sigma2hat*inverseX
mat list covhat
display sqrt(42.025641)
display sqrt(10.183711)
display sqrt(.02786767)
* coefficient of determination R2 =
mat ehat2=ehat'*ehat
mat list ehat2
mat accum ydev = y, dev noconstant
mat list ydev
* R2 = 1 - ehat2/ydev
display 1- 1805.1682/13581.352
* Confirm results
reg y x2 x3
Amy Dunbar
University of Connecticut
School of Business
Department of Accounting
2100 Hillside Road, Unit 1041
Storrs, CT 06269
[email protected]
cell: 860-208-2737
*
* 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/
