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Re: st: Sureg covariance residuels


From   Federico Belotti <f.belotti@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Sureg covariance residuels
Date   Wed, 22 May 2013 11:26:46 +0200

Did you mean something like that?

sysuse auto, clear
sureg (price foreign weight length) (mpg foreign weight) (displ foreign weight)
predict res1, res eq(price)
predict res2, res eq(mpg)
predict res3, res eq(displacement)
corr res1 res2 res3, cov

where the main diagonal elements are the MSEs and the extra diagonal elements are the covariances between the three residual vectors.

HTH,
Federico

On May 22, 2013, at 10:42 AM, Filip Van Droogenbroeck wrote:

> Dear reader,
> 
> I'm doing a seemingly unrelated regression: 
> sureg (y1 x1 x2 x3) (y2 x1 x2 x3)
> and would like to get the residual covariance between y1 and y2.
> Is it possible to get this on some way? I can't seem to find it in the help files...
> 
> Thank you very much,
> Filip Van Droogenbroeck
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-- 
Federico Belotti, PhD
Research Fellow
Centre for Economics and International Studies
University of Rome Tor Vergata
tel/fax: +39 06 7259 5627
e-mail: federico.belotti@uniroma2.it
web: http://www.econometrics.it


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