Re: [Gretl-users] Residual correlation matrix

If there is an elegance voting, my vote goes for Allin's proposal ;).

On Fri, Jan 14, 2011 at 4:53 PM, Henrique Andrade <henrique.coelho(a)gmail.com > 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 >