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re: st: Cholesky decomposition of residuals covariance matrix after xtmixed
From
Christopher Baum <kit.baum@bc.edu>
To
<statalist@hsphsun2.harvard.edu>
Subject
re: st: Cholesky decomposition of residuals covariance matrix after xtmixed
Date
Sun, 5 Dec 2010 08:47:34 -0500
<>
I presume the 'matrix of residuals' is the set of residuals by week, as that has full rank.
webuse pig, clear
xtmixed weight week || id:
predict double e, res
drop weight
reshape wide e, i(id) j(week)
// tomata from ssc
tomata e1-e9
mata: st_matrix("cholesky", cholesky(variance((e1,e2,e3,e4,e5,e6,e7,e8,e9))))
mat list cholesky
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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