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

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.