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Re: st: Strange behaviour of -correlate- command
From
Nick Sanders <[email protected]>
To
[email protected]
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
>
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