[Gretl-users] Residual correlation matrix

Henrique Andrade henrique.coelho at gmail.com
Fri Jan 14 11:53:31 EST 2011


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 at 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 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
> _______________________________________________
> Gretl-users mailing list
> Gretl-users at 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
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