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From
Matthew J Baker <[email protected]>
To
[email protected]
Date
Fri, 4 Feb 2011 09:53:21 -0500 (EST)
Dear listers:
I have noticed that there can be a (small) discrepancy between
the results produced by Stata's predict command after running
a regression and what I think should generate identical
results in Mata. As an illustration, when running the
following code:
sysuse auto, clear
reg price weight length
predict xb
gen err=price-xb
mata
st_view(X=.,.,"weight length")
X=X,J(rows(X),1,1)
st_view(Y=.,.,"price")
beta=invsym(X'X)*X'Y
err_mata=Y-X*beta
end
getmata err_mata
sum err err_mata
I find that the results of the sum command are as follows
(apologies for bad spacing)
spacing):
Variable | Obs Mean Std. Dev. Min
Max
-------------+------------------------------------------------
--------
err | 74 -.0000198 2382.413 -4432.274
5771.01
err_mata | 74 6.20e-06 2382.413 -4432.274
5771.01
One can see that the numbers are all close but a little
different - notably, the mean. What is the reason for this?
Dr. Matthew J. Baker
Department of Economics
Hunter College and the Graduate Center, CUNY
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