Good afternoon,
Are there functions in Mata that do weighted/GLS cross products of the form:
1. X'*S*X = Sum_i (Xi'Si*Xi), where S is a block diagonal matrix with Si on the diagonal, and X is the stacked matrix having the Xi matrices on the top of each other
2. X'*S*X = Sum_i (Xi'*Ei*Ei'*Xi), where S is a block diagonal matrix with the outer product Ei*Ei' of the vector Ei on the diagonal
?
The eq.(1) above is done in Stata by -matrix glsaccum- and eq.(2) is done by -matrix opaccum-.
I looked through the help for the Mata functions cross() and quadcross(), but they are able to do only scalar weighting, i.e., they allow S to be only diagonal with scalars on the diagonal.
Are there functions in Mata that do weighted/GLS cross products of the form:
1. X'*S*X = Sum_i (Xi'Si*Xi), where S is a block diagonal matrix with Si on the diagonal, and X is the stacked matrix having the Xi matrices on the top of each other
2. X'*S*X = Sum_i (Xi'*Ei*Ei'*Xi), where S is a block diagonal matrix with the outer product Ei*Ei' of the vector Ei on the diagonal
?
The eq.(1) above is done in Stata by -matrix glsaccum- and eq.(2) is done by -matrix opaccum-.
I looked through the help for the Mata functions cross() and quadcross(), but they are able to do only scalar weighting, i.e., they allow S to be only diagonal with scalars on the diagonal.
