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Re: st: Re: corr() with weights, -by-
.
Thanks, Michael.
That solves my problem. Very elegant and efficient!
Thanks again,
Philipp
Michael Blasnik wrote:
...
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" <[email protected]>
To: <[email protected]>
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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