[Gretl-users] Residual correlation matrix

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Fri Jan 14 09:29:05 EST 2011


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 at 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 at univpm.it
http://www.econ.univpm.it/lucchetti


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