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st: Generate two (or more) variables with given within variation, between variation and correlation
From
"Heimsch Fabian" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Generate two (or more) variables with given within variation, between variation and correlation
Date
Sun, 20 May 2012 12:34:54 +0000
Dear all
My problem is that I want to generate random variables for panel data. E.g. two variables x and y should each have a distinct and predefined between variation, within variation and predefined correlation.
So far, I tried to randomly draw variables x and y, to stack it according to the panel structure with respect to the number of panel units and time periods. The problem (of course) is that the correlation is always close to zero. How can I do this to achieve any given level of correlation?
I tried to program something like
xtgenvar xname mx sbx swx yname my sby swy rho
where xname would be the name of the variable x, mx the mean, sbx the between variation, swx the within variation. The same holds for the variable y and rho is the desired correlation.
Help Is much appreciated, many thanks
Fabian
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