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st: re: covariance matrix for residuals


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: covariance matrix for residuals
Date   Tue, 7 Aug 2007 07:31:34 -0400

Dragutin said

I have few reduced form equations:
d1=a1+x1*a11+x2a21+u1
d2=a2+x2*a12+x2a22+u2
d3=a1+x3*a13+x2a23+u3
How can I get covariance matrix (3x3) of resiudals u1,u2,u3?



[presumably the second regression is something other than x2; I'll call it z2)

sureg (d1 x1 z2) (d2 x2 z2) (d3 x3 z2)
mat list e(Sigma)



Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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