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st: matrix operations in STATA and MATA do not match!
From
Wu Zhang <[email protected]>
To
STATA LIST <[email protected]>
Subject
st: matrix operations in STATA and MATA do not match!
Date
Fri, 5 Apr 2013 00:54:55 -0700 (PDT)
Hi folks,
I am trying to calculate the ordinary least square by matrix; the formula is beta_hat=(X'*X)^(-1)*X'*Y
In STATA, I run the code: matrix beta_hat= syminv(X'*X)*X'*Y
In MATA, I run the code: beta_hat= luinv(X'*X)*X'*Y
Interestingly, all the estimates of parameters of Xs are exactly the same while the estimates for the constant are different. Could you guys explain how it happens?
Thank you very much!
Wu
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