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Topic: simulation question
Replies: 3   Last Post: Feb 28, 2013 1:06 AM

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Bijan Mobasseri

Posts: 58
Registered: 12/7/04
Re: simulation question
Posted: Feb 27, 2013 9:21 PM
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On 2013-02-27 04:38:41 +0000, Rich Ulrich said:

> On Tue, 26 Feb 2013 16:59:25 -0800, Mike Hollis <>
> wrote:

>> I'm trying to formulate a simulation program in Stata. In particular,
>> I want to simulation the behavior of a regression model with two
>> independent variables under specific conditions. Stata has a function
>> for developing oversavtions from a multivariate normal distribution

> - took a second, but I figure "oversavtions" is "observations" -

Yes. Sorry about the typo.
>> give a correlation/covariance matrix and vectors of means and standard
>> deviations. But I'd rather formulate the model explicitly--something I
>> haven't done since grad school, many years ago.

> You lose me here. What do *you* mean by "formulate ... explicitly"?
> I figure that the first step is "developing observations" which you
> then might do something else to (your "specific conditions").

i can use observtions generated from a multivariate nornal
distirbution, pick a large n and run a regression to find values for
the regression coefficients or I can explicitly formulate and solve for
the betas using covariance algebra. It's the later that I'm interested

>> Assume I have a standardize regression model with a known correlation
>> matrix. I can set one beta and I'd like to derive the expression for

> What do you mean by "set one beta"? Fixing your correlation matrix
> sort of sets both ....

Yes, if I generate observations from a multivariate normal dist. as
described above. But what I'd like to do is set one of the betas and
solve for the other
>> the seond in terms of the first. I also have a particular mean
>> structure I want to impose.

> hmm... for *interesting* conditions that come to my mind, I
> think of the means as being irrelevant.

Sorry. I don't follow this.

>> Can anyone point me to books or articles
>> outlining how to do this?

> Maybe someone else isn't confused here, but for me, I
> can't tell what you want to do.

I hope I've clarified things enough for someone to provide some
references. Thanks in advance.

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