On Sat, 15 Jan 2011, Hélio Guilherme wrote: > If there is an elegance voting, my vote goes for Allin's proposal ;).
The virtue of Jack's version -- though it's a couple of lines longer -- is that it points up the fact that most of the calculation is already done in $sigma, the covariance matrix, which just has to be converted to correlation form. > On Fri, Jan 14, 2011 at 4:53 PM, Henrique Andrade <henrique.coelho(a)gmail.com > > wrote: > > > Em 14 de janeiro de 2011 Olle escreveu: > > > > > > Is there a command available to retrieve the residual correlation matrix > >> returned after performing a normality test (following a VAR estimation)? > >> > > > > *My solution:* > > > > open australia.gdt > > var 4 lpus le lpau > > loop i=1..3 > > series uhat$i = $uhat[,$i]) > > endloop > > YourMatrix <- corr uhat1 uhat2 uhat3 > > > > *Allin's solution:* > > > > open australia.gdt > > var 4 lpus le lpau > > matrix MC = mcorr($uhat) > > print MC > > > > *Riccardo's solution:* > > > > open australia.gdt > > var 4 lpus le lpau -q > > S = $sigma > > s = sqrt(diag(S)) > > S = S ./ (s.*s') > > print S > > > > Conclusion: It's impossible to be more elegant than you, Allin and > > Riccardo! > > > > Best, > > Henrique > > > > 2011/1/14 Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it> > > > >> On Fri, 14 Jan 2011, Allin Cottrell wrote: > >> > >> On Fri, 14 Jan 2011, Henrique Andrade wrote: > >>> > >>> Em 14 de janeiro de 2011 Olle Olsson <olssonolle(a)gmail.com> escreveu: > >>>> > >>>> Is there a command available to retrieve the residual correlation matrix > >>>> > >>>>> returned after performing a normality test (following a VAR > >>>>> estimation)? > >>>>> > >>>> > >>>> Dear Olle, I don't know if there is a command for this, but you can use > >>>> a > >>>> small script: > >>>> > >>>> open australia.gdt > >>>> var 4 lpus le lpau > >>>> > >>>> loop i=1..3 > >>>> series uhat$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 > >> _______________________________________________ > >> Gretl-users mailing list > >> Gretl-users(a)lists.wfu.edu > >> http://lists.wfu.edu/mailman/listinfo/gretl-users > >> > > > > > > > > -- > > *Henrique C. de Andrade* > > Doutorando em Economia Aplicada > > Universidade Federal do Rio Grande do Sul > > www.ufrgs.br/ppge > > > > _______________________________________________ > > Gretl-users mailing list > > Gretl-users(a)lists.wfu.edu > > http://lists.wfu.edu/mailman/listinfo/gretl-users > > > -- Allin Cottrell Department of Economics Wake Forest University
