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