Re: [Gretl-users] Residual correlation matrix
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(a)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
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti