Constructing a summary index using the standardized inverse-covariance weighted average of indicators

Researchers often want to examine the relationship between a variable of interest and multiple related outcomes. To avoid problems of inference that arise from testing multiple hypotheses, one can create a summary index of the outcomes. Summary indices facilitate generalizing findings and can be more powerful than individual tests. In this article, we introduce a command, swindex, that implements the generalized least-squares method of index construction proposed by Anderson (2008, Journal of the American Statistical Association 103: 1481{1495). We describe the command and its options and provide an example based on Blattman, Fiala, and Martinez's (2014, Quarterly Journal of Economics 129: 697{752) evaluation of a cash transfer program in Uganda.

研究者常希望探究目标变量与多个相关结果变量之间的关联。为规避多重假设检验引发的推断偏差，可构建结果变量的综合指数。综合指数不仅有助于研究发现的推广应用，且相较单一检验具备更高的统计效力。本文介绍一款名为swindex的命令，可实现Anderson（2008年发表于《美国统计学会期刊》第103卷：1481—1495）提出的指数构建广义最小二乘法（generalized least-squares）。本文详细阐释该命令及其各项可选参数，并基于Blattman、Fiala与Martinez（2014年发表于《经济学季刊》第129卷：697—752）针对乌干达现金转移支付项目的评估案例，展示其具体使用方法。