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From | Nick Sanders <sandersn@stanford.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Strange behaviour of -correlate- command |
Date | Thu, 9 Dec 2010 16:30:54 -0800 |
If I recall correctly, Excel doesn't calculate the COVAR quite right. For some reason, it uses (1/n) rather than (1/n-1). That likely explains your odd results. -- Nicholas J. Sanders, Ph.D. Postdoctoral Fellow Stanford Institute for Economic Policy Research 366 Galvez St, Room 228 Stanford, CA 94305 On Dec 9, 2010, at 4:23 PM, Zurab Sajaia wrote: > Dear all, > > I've encountered a problem for which I can't find an explanation so far, it seems that I'm getting wrong estimates of covariance, results differ if I use -correlate- command or do calculations manually (I tried exporting data to Excel and used COVAR() function there and it seems that Excel is on my side), > so I was wandering whether something is indeed wrong in Stata, or I'm doing it incorrectly (perhaps it's time to stop working and go home?)... > > So here the deal, I've uploaded an example dataset to the web (30kb): > > .use http://www.adeptanalytics.org/download/temp/corr_bug.dta, clear > > .corr y r, c > (obs=2419) > | y r > -------------+------------------ > y | 2.8e+07 > r | 1142.05 .083368 > > > > but if I do it manually: > > .summarize y, meanonly > .generate double y1 = y - r(mean) > > .summarize r, meanonly > generate double r1 = r - r(mean) > > generate double prod = y1 * r1 > > summarize prod > Variable | Obs Mean Std. Dev. Min Max > -------------+-------------------------------------------------------- > prod | 2419 1141.579 2152.761 -53.76514 47015.59 > > > The same result (1141.579) I get using Excel's COVAR() function. > Do you have any ideas what can be happening here? > > Thanks, > Zurab > > * > * 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/ * * 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/