## Programming an estimation command in Stata: Using Stata matrix commands and functions to compute OLS objects

\(\newcommand{\epsilonb}{\boldsymbol{\epsilon}}

\newcommand{\ebi}{\boldsymbol{\epsilon}_i}

\newcommand{\Sigmab}{\boldsymbol{\Sigma}}

\newcommand{\betab}{\boldsymbol{\beta}}

\newcommand{\eb}{{\bf e}}

\newcommand{\xb}{{\bf x}}

\newcommand{\zb}{{\bf z}}

\newcommand{\yb}{{\bf y}}

\newcommand{\Xb}{{\bf X}}

\newcommand{\Mb}{{\bf M}}

\newcommand{\Eb}{{\bf E}}

\newcommand{\Xtb}{\tilde{\bf X}}

\newcommand{\Vb}{{\bf V}}\)I present the formulas for computing the ordinary least-squares (**OLS**) estimator, and I discuss some do-file implementations of them. I discuss the formulas and the computation of independence-based standard errors, robust standard errors, and cluster-robust standard errors. I introduce the Stata matrix commands and matrix functions that I use in ado-commands that I discuss in upcoming posts.

This is the fifth post in the series **Programming an estimation command in Stata**. I recommend that you start at the beginning. See Programming an estimation command in Stata: A map to posted entries for a map to all the posts in this series. Read more…