Here is Octave code which produces the same covariance values as gretl:


degrees_of_freedom = cases-predictors;

coefficients = pinv(IV)*DV;

estimates = IV*coefficients;

residuals = DV-estimates;

SSres = residuals'*residuals;

residual_variance = SSres/degrees_of_freedom;

N=IV'*IV;

Ni=inv(N);

covariance_matrix = Ni*residual_variance;