ICW_INDEX: Stata module to aggregate the variables included in the varlist into an index

Adrien Bouguen and Tereza Varejkova
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Tereza Varejkova: University of Maryland

Statistical Software Components from Boston College Department of Economics

Abstract: icw_index creates an index from a list of variables included in varlist. icw_index stands for inverse covariance index and follows Anderson (JASA, 2008). Importantly, variables in varlist must be standardized and centered before running the command. Following Anderson, the index is calculated from the inverse covariance matrix. As suggested, we use the inverse covariance matrix of non-missing observations. In case of missing data, we calculate for each pattern of missing observation a specific covariance matrix.

Language: Stata
Requires: Stata version 13.1
Keywords: data management; index; inverse covariance; weights (search for similar items in EconPapers)
Date: 2020-07-15, Revised 2020-11-03
Note: This module should be installed from within Stata by typing "ssc install icw_index". 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.
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http://fmwww.bc.edu/repec/bocode/i/icw_index.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/icw_index.sthlp help file (text/plain)

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