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From | Austin Nichols <austinnichols@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Guidance on matrix inversion for OLS in mata |
Date | Tue, 27 Apr 2010 11:23:59 -0400 |
Thomas Jacobs <thomasjacobs@gmail.com>: Zero is not a problem, but you should expunge the missings first; however you seem to be trying to rewrite -regress- as you go, which is far from a good idea. Why *not* export your vectors to Stata and run -regress- and let Stata handle the sample selection and matrix inversion for you? Maybe if you give us a simple example with real numbers, the problem will be clearer and you can get better guidance... On Tue, Apr 27, 2010 at 12:45 AM, Thomas Jacobs <thomasjacobs@gmail.com> wrote: > Hi, > > I am trying to perform a lengthy series of simulations to examine some > event study methodologies. I have moved to mata for the bulk of the > work but find that for those cases where I wish to use a market model > approach requiring an OLS regression to establish abnormal returns I > am unable to generate an inverse for x'x in seeking to solve for beta > hat. I am typically working with vectors that have 1. missing values, > 2. zero values, and 3. very small values close to zero (within a > couple of decimal places such as -.01 or .005). I have tried mata's > cholinv, invsym, pinv, luinv, and qrinv (I realize that some of these > are probably inappropriate for my problem but I am no expert) and > generally get an inverse matrix of missing values or bizarre results > like a single populated row. > > I would prefer not to go back and forth between stata and mata to use > the stata regress function unless that is the only way to accomplish > this effort. > > Can anyone offer general guidance on how to proceed here? Thanks. > > Tom * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/