st: Re: corr() with weights, -by-

["Michael Blasnik" <michael.blasnik@verizon.net>]

...
You  want the -statsby- command.  Something like this work:

statsby cov=r(cov_12), by(year country) : corr x l2.x  [aw= weight], cov

M Blasnik

----- Original Message ----- 
From: "Philipp Rehm" <philipp.rehm@gmx.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, June 08, 2008 8:42 AM
Subject: st: corr() with weights, -by-



> 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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