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re: st: matrix operations when N exceeds matsize
From
Christopher Baum <[email protected]>
To
[email protected]
Subject
re: st: matrix operations when N exceeds matsize
Date
Tue, 18 May 2010 14:04:15 -0400
<>
I need to calculate the following quadratic form: W' *M* W where W is
NxK and M is K x K
However M is the result of the following quadratic form B*VARD*B' where
B is N x K and VARD is a K x K. My N exceeds the 11,000 limit and so I
have been trying to figure out how to use accum, glsaccum and opaccum to
be able to calculate the above equations.
I presume that M is NxN, not KxK, for conformability. As Martin says, this is no big deal for Mata.
. mata
: W=runiform(12000,10)
: B=runiform(12000,10)
: vard = runiform(10,10)
: result = W' * B * vard * B' * W
: result
1 2 3 4 5 6 7 8
+-----------------------------------------------------------------------------------------------------------------
1 | 500400126.7 502295081.4 504071894.6 506490624.3 503828841.1 504360796 502899956.9 502335048.8
2 | 502520308.9 504423889.9 506207652.2 508637078.7 505964282.9 506498530.5 505031154 504464184.8
3 | 503961410.3 505869513 507659337.5 510095053.5 507413961 507949984.2 506478567.9 505909741.6
4 | 506552723.5 508470854.6 510269677 512718202.6 510023719.3 510562029.6 509083469 508511536.3
5 | 503944502.8 505852248.3 507642701.4 510077963.4 507397387.9 507932971 506462068.8 505892912.3
6 | 504252263 506161836.8 507952473 510389659.2 507707813.6 508244061.9 506771261.4 506202335.2
7 | 502875242.1 504779017.9 506565459.6 508995767.4 506320617 506855019.3 505387477.6 504819526.7
8 | 502543459.1 504446358.7 506231060 508660125.2 505987241.3 506521087.1 505054315.5 504486785.1
9 | 506804665.2 508723669.8 510523745.9 512973124.8 510277507.7 510816307.7 509336482.3 508764468.2
10 | 498583726.2 500471466.8 502242467.3 504652111.6 502000288.9 502529989.8 501074705.3 500511723.8
+-----------------------------------------------------------------------------------------------------------------
9 10
-----------------------------+
1 506612046 498613766.3 |
2 508759658.4 500727276.5 |
3 510216844.6 502161667.3 |
4 512841038.5 504744482.2 |
5 510200215.9 502144830.7 |
6 510512613.1 502452342.9 |
7 509117498.9 501079549.6 |
8 508782174.3 500749475 |
9 513096412.7 504995151.8 |
10 504773350 496803681.4 |
-----------------------------+
Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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