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SMVCIR: Stata module to compute sliced mean variance-covariance inverse regression

Author

Listed:
  • Charles Lindsey

    (StataCorp LP)

Programming Language

Stata

Abstract

smvcir performs the sliced mean variance–covariance inverse regression (SMVCIR) algorithm on grouped multivariate data. The data are transformed to a new coordinate system where the group mean, variance, and covariance differences are more apparent. A test for the dimension of this new coordinate space is also provided. See Lindsey et al. (Computational Statistics, 2013) for details on the SMVCIR algorithm.

Suggested Citation

  • Charles Lindsey, 2013. "SMVCIR: Stata module to compute sliced mean variance-covariance inverse regression," Statistical Software Components S457751, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s457751
    Note: This module should be installed from within Stata by typing "ssc install smvcir". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/s/smvcir.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/smvcir_p.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/s/smvcir.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/w/wine.dta
    File Function: sample data file
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