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> 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
