Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Thomas Jacobs <thomasjacobs@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Guidance on matrix inversion for OLS in mata |
| Date | Tue, 27 Apr 2010 11:31:52 -0500 |
Well I totally screwed this up. I should be doing invsym[X'X]. No wonder I can't get any results. While I am sorry for the bother, I am not sure I would have caught this had I not taken the time to write out a reply. Thanks again. Tom On Tue, Apr 27, 2010 at 11:17 AM, Thomas Jacobs <thomasjacobs@gmail.com> wrote: > Austin, > > Thanks for the reply. I guess I have no choice but to do as you > suggest or else rewrite the program entirely in Stata. I don't have > the days it always takes me to decipher how to do the stata mata data > transfer for this project at present. Every time I sit down to do > something like this I always feel it a roll of the dice. Do I go the > mata route and discover what should have been done in stata or go the > stata route and discover the opposite! > > Here is a short excerpt of the problem. I am simply trying to compute > x'x inverse for a 100 trading day time series of index returns and use > it to solve for betahat for a similar time series of firm returns > where the latter often has one or more missing values. > > Here are the initial steps I take in mata and will use an example with > no missing values: > > X=J(100,2,1) > X[.,2]=LnBAATreasSprd[800::899] > : X > 1 2 > +-------------------------------+ > 1 | 1 -.005838091 | > 2 | 1 -.0063325767 | > 3 | 1 .0100309728 | > 4 | 1 .0040479107 | > 5 | 1 .000136131 | > 6 | 1 .00040839 | > 7 | 1 -.0148075884 | > 8 | 1 -.0107393684 | > 9 | 1 -.002842935 | > 10 | 1 .0066983248 | > 11 | 1 -.0093153818 | > 12 | 1 -.0502348617 | > 13 | 1 -.0178726967 | > 14 | 1 .0145704737 | > 15 | 1 -.0073333359 | > 16 | 1 -.0029384219 | > 17 | 1 -.0095219389 | > 18 | 1 -.0128216762 | > 19 | 1 -.0150571838 | > 20 | 1 .005833914 | > 21 | 1 .0069765295 | > 22 | 1 .0038266596 | > 23 | 1 -.0067447214 | > 24 | 1 -.0082368711 | > 25 | 1 .0079292208 | > 26 | 1 -.0185827948 | > 27 | 1 -.0081839114 | > 28 | 1 .0103758555 | > 29 | 1 -.007115229 | > 30 | 1 -.0043146866 | > 31 | 1 .0007379653 | > 32 | 1 -.0010016384 | > 33 | 1 .0068858997 | > 34 | 1 -.0044625248 | > 35 | 1 .0031520503 | > 36 | 1 -.0554844476 | > 37 | 1 .0113020828 | > 38 | 1 .0031746107 | > 39 | 1 .0117888227 | > 40 | 1 -.0010267079 | > 41 | 1 .0095236665 | > 42 | 1 .0261100251 | > 43 | 1 -.0126527818 | > 44 | 1 -.0114778923 | > 45 | 1 .0066052717 | > 46 | 1 -.0084775724 | > 47 | 1 -.0032715374 | > 48 | 1 -.0015591006 | > 49 | 1 .0142634539 | > 50 | 1 .0003712231 | > 51 | 1 -.0077179475 | > 52 | 1 .0082479911 | > 53 | 1 .0071813553 | > 54 | 1 .0058756177 | > 55 | 1 -.0082988022 | > 56 | 1 -.0003692649 | > 57 | 1 -.0046538925 | > 58 | 1 -.0049419519 | > 59 | 1 .0040403828 | > 60 | 1 -.0099174296 | > 61 | 1 .0231989622 | > 62 | 1 -.0097859399 | > 63 | 1 -.0028060512 | > 64 | 1 -.0028140107 | > 65 | 1 .0092088645 | > 66 | 1 .0032609063 | > 67 | 1 .0080019441 | > 68 | 1 .0002604046 | > 69 | 1 .0027563504 | > 70 | 1 -.0134371053 | > 71 | 1 .0051452187 | > 72 | 1 .0188821666 | > 73 | 1 .0129679879 | > 74 | 1 .0097926175 | > 75 | 1 .0015559109 | > 76 | 1 -.0006521898 | > 77 | 1 .0055551799 | > 78 | 1 .0016954662 | > 79 | 1 0 | > 80 | 1 -.0011965502 | > 81 | 1 -.0123975417 | > 82 | 1 .0008581794 | > 83 | 1 .0113398973 | > 84 | 1 -.0044504236 | > 85 | 1 -.0101748193 | > 86 | 1 .0006073291 | > 87 | 1 .0028294155 | > 88 | 1 -.0016158026 | > 89 | 1 -.009393123 | > 90 | 1 -.0073215333 | > 91 | 1 .0056367237 | > 92 | 1 -.0044041635 | > 93 | 1 .0046085101 | > 94 | 1 .0162160564 | > 95 | 1 .0047139199 | > 96 | 1 -.0005505134 | > 97 | 1 .0033981025 | > 98 | 1 .034180887 | > 99 | 1 -.0102245966 | > 100 | 1 -.0060580331 | > +-------------------------------+ > > and the inverse step with a partial excerpt (all values are zero save > for three cells): > : invsym(X*X') > [symmetric] > 1 2 3 4 > 5 > +---------------------------------------------------------------------------- > 1 | 0 > 2 | 0 0 > 3 | 0 0 0 > 4 | 0 0 0 0 > 5 | 0 0 0 0 > 0 > 6 | 0 0 0 0 > 0 > 7 | 0 0 0 0 > 0 > 8 | 0 0 0 0 > 0 > 9 | 0 0 0 0 > 0 > 10 | 0 0 0 0 > 0 > 11 | 0 0 0 0 > 0 > 12 | 0 0 0 0 > 0 > 13 | 0 0 0 0 > 0 > 14 | 0 0 0 0 > 0 > 15 | 0 0 0 0 > 0 > 16 | 0 0 0 0 > 0 > 17 | 0 0 0 0 > 0 > 18 | 0 0 0 0 > 0 > 19 | 0 0 0 0 > 0 > 20 | 0 0 0 0 > 0 > 21 | 0 0 0 0 > 0 > 22 | 0 0 0 0 > 0 > 23 | 0 0 0 0 > 0 > 24 | 0 0 0 0 > 0 > 25 | 0 0 0 0 > 0 > 26 | 0 0 0 0 > 0 > 27 | 0 0 0 0 > 0 > 28 | 0 0 0 0 > 0 > 29 | 0 0 0 0 > 0 > 30 | 0 0 0 0 > 0 > 31 | 0 0 0 0 > 0 > 32 | 0 0 0 0 > 0 > 33 | 0 0 0 0 > 0 > 34 | 0 0 0 0 > 0 > 35 | 0 0 0 0 > 0 > 36 | 0 0 0 0 > 0 > 37 | 0 0 0 0 > 0 > 38 | 0 0 0 0 > 0 > 39 | 0 0 0 0 > 0 > 40 | 0 0 0 0 > 0 > > qrinv gives something similar with a few more non-zero values while > cholinv and luinv produce nulls. pinv does work in this case. > Suffice it to say I have no problem regressing a similar single firm > return series on this index for the time period in question using > regress. > > If I am missing something, please let me know. Otherwise, I guess I > need to go to stata or do a better job of reproducing regress! Thanks > again. > > Tom > On Tue, Apr 27, 2010 at 10:23 AM, Austin Nichols > <austinnichols@gmail.com> wrote: >> >> 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/ > > > > -- > Thomas Jacobs > -- Thomas Jacobs * * 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/