Thanks. However, the command "series res= $uhat" works only whether I estimate my system only equation by equation. To be clear, it works whether I estimate 4 different equations by ols and then collect step by step the residual of each regression by the above command and the RSS. It may work, but then I need the matrix residual sum of squares of the system of equations to pass at 2nd step to compute. Because at end I have to compute the test statistic
LM=T(p-tr{RRS0^(-1) RRS1}
Has somebody any suggestion to obtain in a simple way the matrix residual sum of squares?
Thanks