Don't you need to add a column of 1s to the X matrix for the intercept?
For example
. sysuse auto
(1978 Automobile Data)
. gen con = 1
. mkmat con mpg weight, matrix(x)
. mkmat price
. matrix B = inv(x'*x)*(x'*price)
. matrix list B
B[3,1]
price
con 1946.0687
mpg -49.512221
weight 1.7465592
. reg price mpg weight
Source | SS df MS Number of obs =
74
-------------+------------------------------ F( 2, 71) =
14.74
Model | 186321280 2 93160639.9 Prob > F =
0.0000
Residual | 448744116 71 6320339.67 R-squared =
0.2934
-------------+------------------------------ Adj R-squared =
0.2735
Total | 635065396 73 8699525.97 Root MSE =
2514
----------------------------------------------------------------------------
--
price | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
mpg | -49.51222 86.15604 -0.57 0.567 -221.3025
122.278
weight | 1.746559 .6413538 2.72 0.008 .467736
3.025382
_cons | 1946.069 3597.05 0.54 0.590 -5226.244
9118.382
----------------------------------------------------------------------------
--
.
Hope this helps,
Scott
----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Sent: Monday, April 05, 2004 6:59 PM
Subject: st: reg and matrix munipulation for OLS in Stata
> Hi all,
>
> I encountered a weird problem. As you know, the formal form of obtaining
the coefficient estimates in OLS is: B = (X'X)^(-1)X'Y. In a dataset that
contains X1, X2, X3, X4, X5 and Y, I did the following:
>
> reg Y X1 X2 X3 X4 X5
>
> mkmat X1 X2 X3 X4 X5, matrix(X_ALL)
> matrix B = inv(X_ALL'*X_ALL)*X_ALL'Y
>
> Theoretically, I am supposed to get the same results for the coefficient
estimates contained in B matrix as well as in the results from reg command.
However, my regression results are slightly different in these two
approaches. Can anyone tell why I have different results?
>
> Thank you very much!
>
*
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