Re: [Gretl-users] Multivariate normal sample
On Sun, 10 May 2009, Constantin Colonescu wrote:
Hi,
Is it possible to draw a sample from a multivariate normal
distribution with a specified correlation or covariance structure in
Gretl?
Try this:
<script>
Sigma = {1,2;2,5}
x = mnormal(40000,2) * cholesky(Sigma)'
sigmaHat = mcov(x)
print sigmaHat
</script>
hope this helps.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti