Re: st: Draw new variable with fixed correlation to an existing variable

[Paulo Guimaraes <guimaraes@moore.sc.edu>]

Rachel,

If you want a new normal variable that on average has, say 0.5 
correlation, then you can easily do that:

clear
set obs 10000
local corr=0.5
gen x1=invnorm(uniform())
quietly sum x1
local sz=r(sd)
local mz=r(mean)
local s2=`sz'^2*(1/`corr'^2-1)
gen x2=x1+sqrt(`s2')*invnorm(uniform())
corr x1 x2


Paulo Guimaraes


Rachel wrote:

> Suppose I have an existing variable x1, which is distributed as a
> standard normal.  I wish to create a new variable x2 (also standard
> normal) such that corr(x1,x2)=0.5.  ?Is there a way to do this in
> Stata?
>
> Thanks,
> Rachel
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/