Dear Statalisters,
I am trying to generate four gamma-distributed variables with the
following correlation structure:
s hd q b
s 1 .8 .8 .6
hd .8 1 .8 .8
q .8 .8 1 .8
b .6 .8 .8 1
So far I have only been able to figure out how to generate how to
generate two variables (s,hd) with the desired correlation.
s hd
s 1 .8
hd .8 1
I have copied my code for the two variables below. Does anyone have
suggestions for how to accomplish what I would like to do for the four
variables?
set obs 1000
generate c1=gammaden(.5,1,0,uniform())
generate c2=gammaden(.5,1,0,uniform())
matrix A=(1,.8\.8,1)
matrix T=cholesky(A)
local e1=T[2,1]
local e2=T[2,2]
generate s=c1
generate hd=`e1'*c1+`e2'*c2
Thank you,
Alex
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