My solution:
open australia.gdt
var 4 lpus le lpau
loop i=1..3
    series uhat$i = $uhat[,$i])
endloop
YourMatrix <- corr uhat1 uhat2 uhat3

Allin's solution:
open australia.gdt
var 4 lpus le lpau
matrix MC = mcorr($uhat)
print MC

Riccardo's solution:
open australia.gdt
var 4 lpus le lpau -q
S = $sigma
s = sqrt(diag(S))
S = S ./ (s.*s')
print S

Conclusion: It's impossible to be more elegant than you, Allin and Riccardo!

Best,
Henrique

2011/1/14 Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it>

On Fri, 14 Jan 2011, Allin Cottrell wrote:

On Fri, 14 Jan 2011, Henrique Andrade wrote:

Em 14 de janeiro de 2011 Olle Olsson <olssonolle@gmail.com> escreveu:

Is there a command available to retrieve the residual correlation matrix

returned after performing a normality test (following a VAR estimation)?

Dear Olle, I don't know if there is a command for this, but you can use a
small script:

open australia.gdt
var 4 lpus le lpau

loop i=1..3
   series uhat$i = $uhat[,$i])
endloop

YourMatrix <- corr uhat1 uhat2 uhat3

Or:

open australia.gdt
var 4 lpus le lpau
matrix MC = mcorr($uhat)
print MC

Or:

open australia.gdt

var 4 lpus le lpau -q
S = $sigma
s = sqrt(diag(S))
S = S ./ (s.*s')
print S


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Universitą Politecnica delle Marche

r.lucchetti@univpm.it
http://www.econ.univpm.it/lucchetti
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