# st: RE: covariance matrix

 From "Nick Cox" <[email protected]> To <[email protected]> Subject st: RE: covariance matrix Date Mon, 17 Dec 2007 18:58:40 -0000

```See e.g.

[M-5]   corr()  . . . . . . . . . Make correlation matrix from variance
matrix
(help [M-5] corr())

[M-5]   mean()  . . . . . . . . . . . . . . Means, variances, and
correlations
(help [M-5] mean())

FAQ     . . . . . . . . . . . . . . . . . . . Obtaining the correlation
matrix
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . W.
Gould
12/99   How can I obtain the correlation matrix as a Stata
matrix?
http://www.stata.com/support/faqs/stat/rho.html

corrmat from http://www.stata.com/users/sdriver
corrmat.  Create and save correlation or covariance matrices.  /
Program
by Shannon Driver, StataCorp <[email protected]>. / Creates a
correlation
matrix, covariance matrix, or both and optionally / saves them in
the
return list and/or matrix dir.

cpcorr from http://fmwww.bc.edu/RePEc/bocode/c
'CPCORR': module for correlations for each row vs each column
variable /
cpcorr produces a matrix of correlations for rowvarlist versus /
colvarlist. cpspear does the same for Spearman correlations. This /
matrix
may thus be oblong, and need not be square. Both also / allow a
single

STB-56  dm79  . . . . . . . . . . . . . . . . . . Yet more new matrix
commands
(help matcorr, matewmf, matvsort, svmat2 if installed)  . .  N.
J. Cox
7/00    pp.4--8; STB Reprints Vol 10, pp.17--23
commands to produce a correlation matrix, elementwise monadic
function of another matrix, selected subsets of matrix rows
and columns, vec or vech of a matrix, elements sorted within
a vector, matrix from a vector, and commands to save matrices
see mata matrix language incorporated into Stata 9.0

David Kantor

How can I capture the covariance matrix of a set of variables?
If I do
corr varlist, cov
I get returned scalars of the variance and covariance of the first
two variables. I though I should be able to get the whole matrix.

Am I missing something?

I suppose I can compute the covariance of each pair of variables and
deposit the results into a matrix, but I thought that I wouldn't need
to do that.

*
*   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/
```