[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: re: covariance matrix for residuals

From   Kit Baum <>
Subject   st: re: covariance matrix for residuals
Date   Tue, 7 Aug 2007 07:31:34 -0400

Dragutin said

I have few reduced form equations:
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
An Introduction to Modern Econometrics Using Stata:

* For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index