Re: [Gretl-users] Coeffiicent Wald Tests across equations for individual coefficents (within SUR)
Am 26.04.2013 13:58, schrieb Jan Tille:
Jan, Thank you for this hint. Is there an easy way to obtain the
coefficient cov-matrix, as Gretel only produces the residiual covariance
matrix for the System.
$vcv should do the trick -- while VARs and VECMs are special cases, here
we're talking of a "standard" (=general) system where $vcv should work.
What made you think that only the resid covar was available?
hth,
sven