Re: [Gretl-users] Residual correlation matrix

[Allin Cottrell]

On Fri, 14 Jan 2011, Henrique Andrade wrote:

> Em 14 de janeiro de 2011 Olle Olsson <olssonolle(a)gmail.com> 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

Allin Cottrell