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st: RE: creating AR(1) correlation matrix
From
"Jacobs, David" <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
st: RE: creating AR(1) correlation matrix
Date
Thu, 16 May 2013 15:13:16 +0000
A quick and maybe dirty way to do this is to run a population averaged, panel regression model with an AR1 term if that's appropriate.
Then type -xtcorr- (there's a newer command but xtcorr still works at least in version 11). You'll probably get the correlation matrix used to compute the AR1 correction. I say probably because the matrix you want may be too large for this option.
Dave Jacobs
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Lachenbruch, Peter
Sent: Thursday, May 16, 2013 10:59 AM
To: [email protected]
Subject: st: creating AR(1) correlation matrix
I need to create a correlatoin matrix of rho^(i-j) where i and j are row and column indexes. Is there a simple command in Stata that will do htis? I can do it in a foreach loop (although i've been messing it up so far). This is for a simulation and the dimension of the correlation is 50 or 100 so i don't want to do it manually.
Peter A. Lachenbruch,
Professor (retired)
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