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Re: st: Guidance on matrix inversion for OLS in mata
From
Thomas Jacobs <[email protected]>
To
[email protected]
Subject
Re: st: Guidance on matrix inversion for OLS in mata
Date
Tue, 27 Apr 2010 11:31:52 -0500
Well I totally screwed this up. I should be doing invsym[X'X]. No
wonder I can't get any results. While I am sorry for the bother, I am
not sure I would have caught this had I not taken the time to write
out a reply. Thanks again.
Tom
On Tue, Apr 27, 2010 at 11:17 AM, Thomas Jacobs <[email protected]> wrote:
> Austin,
>
> Thanks for the reply. I guess I have no choice but to do as you
> suggest or else rewrite the program entirely in Stata. I don't have
> the days it always takes me to decipher how to do the stata mata data
> transfer for this project at present. Every time I sit down to do
> something like this I always feel it a roll of the dice. Do I go the
> mata route and discover what should have been done in stata or go the
> stata route and discover the opposite!
>
> Here is a short excerpt of the problem. I am simply trying to compute
> x'x inverse for a 100 trading day time series of index returns and use
> it to solve for betahat for a similar time series of firm returns
> where the latter often has one or more missing values.
>
> Here are the initial steps I take in mata and will use an example with
> no missing values:
>
> X=J(100,2,1)
> X[.,2]=LnBAATreasSprd[800::899]
> : X
> 1 2
> +-------------------------------+
> 1 | 1 -.005838091 |
> 2 | 1 -.0063325767 |
> 3 | 1 .0100309728 |
> 4 | 1 .0040479107 |
> 5 | 1 .000136131 |
> 6 | 1 .00040839 |
> 7 | 1 -.0148075884 |
> 8 | 1 -.0107393684 |
> 9 | 1 -.002842935 |
> 10 | 1 .0066983248 |
> 11 | 1 -.0093153818 |
> 12 | 1 -.0502348617 |
> 13 | 1 -.0178726967 |
> 14 | 1 .0145704737 |
> 15 | 1 -.0073333359 |
> 16 | 1 -.0029384219 |
> 17 | 1 -.0095219389 |
> 18 | 1 -.0128216762 |
> 19 | 1 -.0150571838 |
> 20 | 1 .005833914 |
> 21 | 1 .0069765295 |
> 22 | 1 .0038266596 |
> 23 | 1 -.0067447214 |
> 24 | 1 -.0082368711 |
> 25 | 1 .0079292208 |
> 26 | 1 -.0185827948 |
> 27 | 1 -.0081839114 |
> 28 | 1 .0103758555 |
> 29 | 1 -.007115229 |
> 30 | 1 -.0043146866 |
> 31 | 1 .0007379653 |
> 32 | 1 -.0010016384 |
> 33 | 1 .0068858997 |
> 34 | 1 -.0044625248 |
> 35 | 1 .0031520503 |
> 36 | 1 -.0554844476 |
> 37 | 1 .0113020828 |
> 38 | 1 .0031746107 |
> 39 | 1 .0117888227 |
> 40 | 1 -.0010267079 |
> 41 | 1 .0095236665 |
> 42 | 1 .0261100251 |
> 43 | 1 -.0126527818 |
> 44 | 1 -.0114778923 |
> 45 | 1 .0066052717 |
> 46 | 1 -.0084775724 |
> 47 | 1 -.0032715374 |
> 48 | 1 -.0015591006 |
> 49 | 1 .0142634539 |
> 50 | 1 .0003712231 |
> 51 | 1 -.0077179475 |
> 52 | 1 .0082479911 |
> 53 | 1 .0071813553 |
> 54 | 1 .0058756177 |
> 55 | 1 -.0082988022 |
> 56 | 1 -.0003692649 |
> 57 | 1 -.0046538925 |
> 58 | 1 -.0049419519 |
> 59 | 1 .0040403828 |
> 60 | 1 -.0099174296 |
> 61 | 1 .0231989622 |
> 62 | 1 -.0097859399 |
> 63 | 1 -.0028060512 |
> 64 | 1 -.0028140107 |
> 65 | 1 .0092088645 |
> 66 | 1 .0032609063 |
> 67 | 1 .0080019441 |
> 68 | 1 .0002604046 |
> 69 | 1 .0027563504 |
> 70 | 1 -.0134371053 |
> 71 | 1 .0051452187 |
> 72 | 1 .0188821666 |
> 73 | 1 .0129679879 |
> 74 | 1 .0097926175 |
> 75 | 1 .0015559109 |
> 76 | 1 -.0006521898 |
> 77 | 1 .0055551799 |
> 78 | 1 .0016954662 |
> 79 | 1 0 |
> 80 | 1 -.0011965502 |
> 81 | 1 -.0123975417 |
> 82 | 1 .0008581794 |
> 83 | 1 .0113398973 |
> 84 | 1 -.0044504236 |
> 85 | 1 -.0101748193 |
> 86 | 1 .0006073291 |
> 87 | 1 .0028294155 |
> 88 | 1 -.0016158026 |
> 89 | 1 -.009393123 |
> 90 | 1 -.0073215333 |
> 91 | 1 .0056367237 |
> 92 | 1 -.0044041635 |
> 93 | 1 .0046085101 |
> 94 | 1 .0162160564 |
> 95 | 1 .0047139199 |
> 96 | 1 -.0005505134 |
> 97 | 1 .0033981025 |
> 98 | 1 .034180887 |
> 99 | 1 -.0102245966 |
> 100 | 1 -.0060580331 |
> +-------------------------------+
>
> and the inverse step with a partial excerpt (all values are zero save
> for three cells):
> : invsym(X*X')
> [symmetric]
> 1 2 3 4
> 5
> +----------------------------------------------------------------------------
> 1 | 0
> 2 | 0 0
> 3 | 0 0 0
> 4 | 0 0 0 0
> 5 | 0 0 0 0
> 0
> 6 | 0 0 0 0
> 0
> 7 | 0 0 0 0
> 0
> 8 | 0 0 0 0
> 0
> 9 | 0 0 0 0
> 0
> 10 | 0 0 0 0
> 0
> 11 | 0 0 0 0
> 0
> 12 | 0 0 0 0
> 0
> 13 | 0 0 0 0
> 0
> 14 | 0 0 0 0
> 0
> 15 | 0 0 0 0
> 0
> 16 | 0 0 0 0
> 0
> 17 | 0 0 0 0
> 0
> 18 | 0 0 0 0
> 0
> 19 | 0 0 0 0
> 0
> 20 | 0 0 0 0
> 0
> 21 | 0 0 0 0
> 0
> 22 | 0 0 0 0
> 0
> 23 | 0 0 0 0
> 0
> 24 | 0 0 0 0
> 0
> 25 | 0 0 0 0
> 0
> 26 | 0 0 0 0
> 0
> 27 | 0 0 0 0
> 0
> 28 | 0 0 0 0
> 0
> 29 | 0 0 0 0
> 0
> 30 | 0 0 0 0
> 0
> 31 | 0 0 0 0
> 0
> 32 | 0 0 0 0
> 0
> 33 | 0 0 0 0
> 0
> 34 | 0 0 0 0
> 0
> 35 | 0 0 0 0
> 0
> 36 | 0 0 0 0
> 0
> 37 | 0 0 0 0
> 0
> 38 | 0 0 0 0
> 0
> 39 | 0 0 0 0
> 0
> 40 | 0 0 0 0
> 0
>
> qrinv gives something similar with a few more non-zero values while
> cholinv and luinv produce nulls. pinv does work in this case.
> Suffice it to say I have no problem regressing a similar single firm
> return series on this index for the time period in question using
> regress.
>
> If I am missing something, please let me know. Otherwise, I guess I
> need to go to stata or do a better job of reproducing regress! Thanks
> again.
>
> Tom
> On Tue, Apr 27, 2010 at 10:23 AM, Austin Nichols
> <[email protected]> wrote:
>>
>> Thomas Jacobs <[email protected]>:
>> Zero is not a problem, but you should expunge the missings first;
>> however you seem to be trying to rewrite -regress- as you go, which is
>> far from a good idea. Why *not* export your vectors to Stata and run
>> -regress- and let Stata handle the sample selection and matrix
>> inversion for you?
>>
>> Maybe if you give us a simple example with real numbers, the problem
>> will be clearer and you can get better guidance...
>>
>> On Tue, Apr 27, 2010 at 12:45 AM, Thomas Jacobs <[email protected]> wrote:
>> > Hi,
>> >
>> > I am trying to perform a lengthy series of simulations to examine some
>> > event study methodologies. I have moved to mata for the bulk of the
>> > work but find that for those cases where I wish to use a market model
>> > approach requiring an OLS regression to establish abnormal returns I
>> > am unable to generate an inverse for x'x in seeking to solve for beta
>> > hat. I am typically working with vectors that have 1. missing values,
>> > 2. zero values, and 3. very small values close to zero (within a
>> > couple of decimal places such as -.01 or .005). I have tried mata's
>> > cholinv, invsym, pinv, luinv, and qrinv (I realize that some of these
>> > are probably inappropriate for my problem but I am no expert) and
>> > generally get an inverse matrix of missing values or bizarre results
>> > like a single populated row.
>> >
>> > I would prefer not to go back and forth between stata and mata to use
>> > the stata regress function unless that is the only way to accomplish
>> > this effort.
>> >
>> > Can anyone offer general guidance on how to proceed here? Thanks.
>> >
>> > Tom
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> Thomas Jacobs
>
--
Thomas Jacobs
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
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