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Merged
jorpppp merged 1 commit into from
Mar 15, 2024
Merged

Update xteventplot.ado #172

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18 changes: 8 additions & 10 deletions xtevent/xteventplot.ado
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Original file line number Diff line number Diff line change
Expand Up @@ -370,7 +370,7 @@ program define xteventplot
di _n "Note: Sup-t confidence interval drawn for system confidence level = `=c(level)'"
}
loc level=c(level)/100
mata: supt(`suptreps',"`se'",`level')
mata: supt(`suptreps',"`se'","`V'",`level')
tempvar ulsupt llsupt
gen double `ulsupt' = `coef' + q*`se'
gen double `llsupt' = `coef' - q*`se'
Expand Down Expand Up @@ -949,21 +949,19 @@ mata

void supt(real scalar suptreps,
string scalar se,
string scalar V,
real scalar level
)
{ real matrix senum,rmv,mv,means,var,sd,std,am
{ real matrix senum,Vnum,Vcor,rmv,am
real scalar q

senum = st_matrix(se)
rmv=rnormal(suptreps,1,J(1,cols(senum),0),senum)
mv = meanvariance(rmv)
means = mv[1,.]
var = mv[|2,1 \ .,.|]
sd = sqrt(diagonal(var))'
std = (rmv :- means):/sd
am = rowmax(abs(std))
Vnum = st_matrix(V)
Vcor=cholinv(diag(senum))*Vnum*cholinv(diag(senum))
rmv=rnormal(suptreps,1,J(1,cols(senum),0),J(1,cols(senum),1))*(cholesky(Vcor)')
am = rowmax(abs(rmv))
q = mm_quantile(am,1,level)
st_numscalar("q",q)
st_numscalar("q",q)
}

real matrix mm_quantile(real matrix X, | real colvector w,
Expand Down