On the other hand, if you want the covariances alongside the data, this
approach is cleaner than recourse to -levelsof-:
gen cov = .
egen group = group(country year)
su group, meanonly
quietly forval i = 1/`r(max)' {
corr x l2.x [aw=weight] if group == `i', cov
replace cov = r(cov_12) if group == `i'
}
See also
FAQ . . . . . . . . . . Making foreach go through all values of a
variable
8/05 Is there a way to tell Stata to try all values of a
particular variable in a foreach statement without
specifying them?
http://www.stata.com/support/faqs/data/foreach.html
However, -statsby- and then using -merge- may be just as efficient.
Nick
[email protected]
Michael Blasnik
...
You want the -statsby- command. Something like this work:
statsby cov=r(cov_12), by(year country) : corr x l2.x [aw= weight], cov
Philipp Rehm
> I am looking for an efficient way to extract weighted covariances, for
a
> by-able problem.
>
> Currently, I am running a very inefficient loop (using a lot of
> -levelof-s and if-qualifiers), along these lines (my data is -tsset-):
>
> corr x l2.x [aweight=weight] if year==`i' & country==`j', covariance
>
> I then write the results [r(cov_12)] into a variable, again using
> if-qualifiers.
>
> A much quicker way to do this is to use the corr() function (written
by
> Nick Winter) from the egenmore package. It does exactly what I want,
> except that it does not accept weights.
>
> I can also run something like:
>
> bys country year: correlate(x l2.x) [aweight=weight], covariance
>
> but r(C) leaves behind the covariance matrix only for the very last
> estimation.
>
> So, ideally I am looking for a version of Nick Winter's corr() which
> accepts weights.
>
> Any ideas / suggestions would be appreciated. I prefer a solution that
> works in Stata 9, but I do have access to Stata 10.
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