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Re: st: ereturn post after mata


From   Christophe Kolodziejczyk <[email protected]>
To   [email protected]
Subject   Re: st: ereturn post after mata
Date   Sun, 11 Mar 2012 10:13:57 +0100

yes, precisely. Thanks Nick.
Christophe

2012/3/10 Nick Cox <[email protected]>:
> I think Christophe meant to type
>
> gen touse = dv < . & iv < .
>
> Nick
>
> On Sat, Mar 10, 2012 at 4:34 PM, Christophe Kolodziejczyk
> <[email protected]> wrote:
>> Dear Christoph,
>> Another approach to handle missing values is to create an indicator
>> called typically touse and use it to select the observations in your
>> view (see help st_view() or st_data()).
>>
>> gen touse = keep if dv < . & iv < .
>>
>> mata:
>>
>> ...
>>
>> st_view(X= ., ., tokens("`xlist'"),"touse")
>>
>> ...
>> end
>>
>> Bill Gould had a presentation in 2005 on Mata and is a good tutorial
>> for Mata in general and st_view() in particular.
>>
>> It is not necessary to create the cons variable, you can directly
>> specify it when you use the cross() function like
>>
>> cross(X,1,X,1)
>>
>> Stata will compute the cross product with X and the constant.
>>
>> See the help on cross() for more details and helpful examples.
>>
>> You should also check whether your mails are sent in plain text, it
>> may explain why you cannot reply to statalist.
>>
>> Best
>> Christophe
>>
>>
>>
>> 2012/3/9 Christoph Engel <[email protected]>:
>>> Dear Christophe,
>>>
>>> For some reason I do not understand, the list does not let me post this
>>> response to you, which is why I send them in private.
>>>
>>> Once more: thank you very much for your help!
>>>
>>> Christoph
>>>
>>>
>>>
>>>
>>> Dear Christophe,
>>>
>>> Sorry for not having found your response earlier. I must have missed it in
>>> the flurry of postings.
>>>
>>> Thank you very much for having tried out my code on the auto dataset. I now
>>> have had a few more trials and eventually found out two things mata
>>> requires. Maybe later users find it useful to know, which is why I respond
>>> here:
>>>
>>> it seems mata does not automatically find / define a constant. Rather,
>>> following Cameron/Trivedi's code, one should code
>>>
>>> gen cons = 1
>>> local xlist iv cons  // which is the new auxiliary variable
>>>
>>> the reason why my trial dataset had not worked well were indeed two missing
>>> values on the dependent variable. It worked, once I coded
>>>
>>> preserve
>>> keep if dv < . & iv < .
>>> [the previous code]
>>> restore
>>>
>>> Best
>>>
>>> Christoph Engel
>>>
>>> Am 3/8/2012 9:11 AM, schrieb Christophe Kolodziejczyk:
>>>
>>> Dear Christoph
>>> I've tried your code with the auto dataset had no problem getting the
>>> correct results (see the log file).
>>> So I would check the data first and look for the elements produced by
>>> your program which have missing values.
>>> If you get error code r(504) it is because b or V has missing values.
>>> Best
>>> Christophe
>>>
>>> ----------------------------------------------------------------------------------------------------------------------
>>>       name:  <unnamed>
>>>        log:  C:\Users\CK\Documents\try_reg_mata.log
>>>   log type:  text
>>>  opened on:   8 Mar 2012, 09:07:21
>>>
>>> .
>>> .
>>> . sysuse auto , clear
>>> (1978 Automobile Data)
>>>
>>> .
>>> . gen cons=1
>>>
>>> .
>>> . local y price
>>>
>>> . local xlist mpg cons
>>>
>>> . mata
>>> ------------------------------------------------- mata (type end to
>>> exit) --------------------------------------------
>>> :     st_view(y= ., ., "`y'")
>>>
>>> :     st_view(X= ., ., tokens("`xlist'"))
>>>
>>> :     XXinv = cholinv(cross(X,X))
>>>
>>> :     b = XXinv*cross(X,y)
>>>
>>> :     e = y - X*b
>>>
>>> :     n = rows(X)
>>>
>>> :     k = cols(X)
>>>
>>> :     s2 = (e'e)/(n-k)
>>>
>>> :     vdef = s2*XXinv
>>>
>>> :         b,vdef
>>>                   1              2              3
>>>     +----------------------------------------------+
>>>   1 |  -238.8943456     2817.13472   -59997.35566  |
>>>   2 |   11253.06066   -59997.35566    1370802.527  |
>>>     +----------------------------------------------+
>>>
>>> :     st_matrix("b", b')
>>>
>>> :     st_matrix("V", vdef)
>>>
>>> : end
>>> ----------------------------------------------------------------------------------------------------------------------
>>>
>>> .
>>> . matrix colnames b = `xlist'
>>>
>>> . matrix colnames V = `xlist'
>>>
>>> . matrix rownames V = `xlist'
>>>
>>> .
>>> . mat list b
>>>
>>> b[1,2]
>>>            mpg        cons
>>> r1  -238.89435   11253.061
>>>
>>> . mat list V
>>>
>>> symmetric V[2,2]
>>>              mpg        cons
>>>  mpg   2817.1347
>>> cons  -59997.356   1370802.5
>>>
>>> . ereturn post b V
>>>
>>> . ereturn display
>>> ------------------------------------------------------------------------------
>>>              |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
>>> Interval]
>>> -------------+----------------------------------------------------------------
>>>          mpg |  -238.8943   53.07669    -4.50   0.000    -342.9227
>>> -134.866
>>>         cons |   11253.06   1170.813     9.61   0.000      8958.31
>>> 13547.81
>>> ------------------------------------------------------------------------------
>>>
>>> .
>>> .
>>> . reg price mpg
>>>
>>>       Source |       SS       df       MS              Number of obs =
>>> 74
>>> -------------+------------------------------           F(  1,    72) =
>>> 20.26
>>>        Model |   139449474     1   139449474           Prob > F      =
>>> 0.0000
>>>     Residual |   495615923    72  6883554.48           R-squared     =
>>> 0.2196
>>> -------------+------------------------------           Adj R-squared =
>>> 0.2087
>>>        Total |   635065396    73  8699525.97           Root MSE      =
>>> 2623.7
>>>
>>> ------------------------------------------------------------------------------
>>>        price |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
>>> Interval]
>>> -------------+----------------------------------------------------------------
>>>          mpg |  -238.8943   53.07669    -4.50   0.000    -344.7008
>>> -133.0879
>>>        _cons |   11253.06   1170.813     9.61   0.000     8919.088
>>> 13587.03
>>> ------------------------------------------------------------------------------
>>>
>>> .
>>> . log close
>>>       name:  <unnamed>
>>>        log:  C:\Users\CK\Documents\try_reg_mata.log
>>>   log type:  text
>>>  closed on:   8 Mar 2012, 09:07:22
>>> ----------------------------------------------------------------------------------------------------------------------
>>>
>>>
>>> .
>>> . matrix colnames b = `xlist'
>>>
>>> . matrix colnames V = `xlist'
>>>
>>> . matrix rownames V = `xlist'
>>>
>>> . ereturn post b V
>>>
>>> . ereturn display
>>> ------------------------------------------------------------------------------
>>>              |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
>>> Interval]
>>> -------------+----------------------------------------------------------------
>>>          mpg |  -238.8943   53.07669    -4.50   0.000    -342.9227
>>> -134.866
>>>         cons |   11253.06   1170.813     9.61   0.000      8958.31
>>> 13547.81
>>> ------------------------------------------------------------------------------
>>>
>>> .
>>> .
>>> . reg price mpg
>>>
>>>       Source |       SS       df       MS              Number of obs =
>>> 74
>>> -------------+------------------------------           F(  1,    72) =
>>> 20.26
>>>        Model |   139449474     1   139449474           Prob > F      =
>>> 0.0000
>>>     Residual |   495615923    72  6883554.48           R-squared     =
>>> 0.2196
>>> -------------+------------------------------           Adj R-squared =
>>> 0.2087
>>>        Total |   635065396    73  8699525.97           Root MSE      =
>>> 2623.7
>>>
>>> ------------------------------------------------------------------------------
>>>        price |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
>>> Interval]
>>> -------------+----------------------------------------------------------------
>>>          mpg |  -238.8943   53.07669    -4.50   0.000    -344.7008
>>> -133.0879
>>>        _cons |   11253.06   1170.813     9.61   0.000     8919.088
>>> 13587.03
>>> ------------------------------------------------------------------------------
>>>
>>> .
>>> . log close
>>>       name:  <unnamed>
>>>        log:  C:\Users\CK\Documents\try_reg_mata.log
>>>   log type:  text
>>>  closed on:   8 Mar 2012, 09:04:07
>>> ----------------------------------------------------------------------------------------------------------------------
>>>
>>>
>>> 2012/3/6 Christoph Engel <[email protected]>:
>>>
>>> Dear readers of Stata list,
>>>
>>> Cameron Trivedi: Microeconometrics Using Stata 2009, p. 116 report the code
>>> for running OLS in mata, and posting the results in stata.
>>>
>>> If I simplify the code and estimate a model with only one regressor and no
>>> constant, it works just fine. But if I add the constant, I still get
>>> coefficients and a variance/covariance matrix that are the same as the ones
>>> generated by reg. But I can no longer display the results conveniently. The
>>> following step does not work
>>>
>>> ereturn post b V
>>>
>>> I get the error code: r(504): matrix has missing values
>>>
>>> The link to r(504) says that this should no longer be an issue. Actually, I
>>> can use matrix list e(V) and get the same VCE as with reg. Am I making a
>>> mistake, or is this a bug that Stata Corp should fix?
>>>
>>> Here is my code which, I think, is exactly what Cameron Trivedi propose:
>>>
>>> local y dv
>>> local xlist iv cons
>>> mata
>>>    st_view(y= ., ., "`y'")
>>>    st_view(X= ., ., tokens("`xlist'"))
>>>    XXinv = cholinv(cross(X,X))
>>>    b = XXinv*cross(X,y)
>>>    e = y - X*b
>>>    n = rows(X)
>>>    k = cols(X)
>>>    s2 = (e'e)/(n-k)
>>>    vdef = s2*XXinv
>>>    st_matrix("b", b')
>>>    st_matrix("V", vdef)
>>> end
>>>
>>> matrix colnames b = `xlist'
>>> matrix colnames V = `xlist'
>>> matrix rownames V = `xlist'
>>> ereturn post b V
>>> ereturn display
>>>
>>>
>
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-- 
Christophe Kolodziejczyk
Research Fellow

AKF, Anvendt KommunalForskning
Danish Institute of Governmental Research
Købmagergade 22
DK-1150 København K

*
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