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

Author

Listed:
  • Adrien Bouguen

    (Santa Clara University)

  • Tereza Varejkova

    (University of Maryland)

Programming Language

Stata

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.

Suggested Citation

  • Adrien Bouguen & Tereza Varejkova, 2020. "ICW_INDEX: Stata module to aggregate the variables included in the varlist into an index," Statistical Software Components S458814, Boston College Department of Economics, revised 03 Nov 2020.
    • Handle: RePEc:boc:bocode:s458814
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/i/icw_index.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/icw_index.sthlp
    File Function: help file
    Download Restriction: no
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