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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 * * 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/