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st: Calculation of covariance matrix for unbalanced sample?

From   <>
To   <>
Subject   st: Calculation of covariance matrix for unbalanced sample?
Date   Thu, 3 Nov 2011 10:00:10 -0000

A colleague has data on a relatively large number of variables. His
sample is unbalanced in the sense that each variable has some missing
values. He wishes to calculate the covariance matrix for his data but
without the listwise deletion of cases that is imposed by -correlation,
covariance-  or -matrix accum-.

My first thought was that he could use -pwcorr- and loop over his
variables, and build up his matrix from the saved results. But I thought
there must be an easier or more straightforward way -- but Googling and
-findit- have not suggested any.  I guess there is a relatively easy
Mata solution, but I am currently unfamiliar with that route.

Suggestions using Stata or Mata please

Professor Stephen P. Jenkins <>
Department of Social Policy and STICERD
London School of Economics and Political Science
Houghton Street, London WC2A 2AE, UK
Tel: +44(0)20 7955 6527
Changing Fortunes: Income Mobility and Poverty Dynamics in Britain, OUP
Survival Analysis Using Stata:
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