Re: [Gretl-users] Residual correlation matrix

wrote:

Em 14 de janeiro de 2011 Olle escreveu: Is there a command available to retrieve the residual correlation matrix > returned after performing a normality test (following a VAR estimation)? > *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 = $sigma s = sqrt(diag(S)) S = S ./ (s.*s') print S Conclusion: It's impossible to be more elegant than you, Allin and Riccardo! Best, Henrique 2011/1/14 Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it&gt; > On Fri, 14 Jan 2011, Allin Cottrell wrote: > > On Fri, 14 Jan 2011, Henrique Andrade wrote: >> >> Em 14 de janeiro de 2011 Olle Olsson <olssonolle(a)gmail.com&gt; escreveu: >>> >>> Is there a command available to retrieve the residual correlation matrix >>> >>>> returned after performing a normality test (following a VAR >>>> estimation)? >>>> >>> >>> Dear Olle, I don't know if there is a command for this, but you can use >>> a >>> small script: >>> >>> open australia.gdt >>> var 4 lpus le lpau >>> >>> loop i=1..3 >>> series uhat$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 > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > -- *Henrique C. de Andrade* Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppge _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users