st: corr() with weights, -by-

[Philipp Rehm <philipp.rehm@gmx.de>]

Dear all,

I am looking for an efficient way to extract weighted covariances, for a 
by-able problem.

Currently, I am running a very inefficient loop (using a lot of 
-levelof-s and if-qualifiers), along these lines (my data is -tsset-):

corr x l2.x [aweight=weight] if year==`i' & country==`j', covariance

I then write the results [r(cov_12)] into a variable, again using 
if-qualifiers.

A much quicker way to do this is to use the corr() function (written by 
Nick Winter) from the egenmore package. It does exactly what I want, 
except that it does not accept weights.

I can also run something like:

bys country year: correlate(x l2.x) [aweight=weight], covariance

but r(C) leaves behind the covariance matrix only for the very last 
estimation.

So, ideally I am looking for a version of Nick Winter's corr() which 
accepts weights.

Any ideas / suggestions would be appreciated. I prefer a solution that 
works in Stata 9, but I do have access to Stata 10.

Thank you,
Philipp



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