re: st: Cholesky decomposition of residuals covariance matrix after xtmixed

[Christopher Baum <kit.baum@bc.edu>]

<>

I presume the 'matrix of residuals' is the set of residuals by week, as that has full rank.

 webuse pig, clear
 xtmixed weight week || id:
 predict double e, res
 drop weight
 reshape wide e, i(id) j(week)
// tomata from ssc 
 tomata e1-e9
 mata: st_matrix("cholesky", cholesky(variance((e1,e2,e3,e4,e5,e6,e7,e8,e9))))
 mat list cholesky


Kit Baum   |   Boston College Economics & 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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