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Venable said
Alternatively, I know that I could do the sum of the N terms
Xn'*Om_Inv_Block*Xn but I am worried that I would somehow mess this
up. So, another solution, I suppose, would be some idiot-proof way to
do this sum.
This is very similar to the problem of calculating the -sureg-
estimator (with the difference that in -sureg- there is no constraint
that the X matrices have the same number of columns). The -suregub-
routine codes -sureg- in Mata and avoids creating the monster matrix
by doing the above sum. It really isn't that hard to set up that loop,
and if you think about it, it is incredibly wasteful to be calculating
the full matrix (even if memory is not an issue) given the block-
diagonal structure implied by the Kronecker. You may find the -
suregub- code in the downloadable materials related to ITSP below.
That routine implements -sureg- for the special case where T is not
necessarily equal, but it also works fine if all equations' T values
are the same.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming
| http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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