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st: =?utf-8?Q?st:_variance-covariance_of_nonlinear_combination_in_matrix_form?==?utf-8?Q?=E2=80=8F=E2=80=8F?=

From   =?utf-8?Q?=E7=94=B0=E4=B8=AD_=E8=89=AF=E5=AD=90?= <[email protected]>
To   <[email protected]>
Subject   st: =?utf-8?Q?st:_variance-covariance_of_nonlinear_combination_in_matrix_form?==?utf-8?Q?=E2=80=8F=E2=80=8F?=
Date   Fri, 21 Dec 2007 21:52:55 +0900

Dear Statalist
I need to test nonlinear combination shown in MATRIX form.
I estimated the following equation.
    A(t)=aX(t)+cA(t-1)     (1)
A(t): 7*1 dependent variables
a:     7*24 parameters
X(t): 24*1 independent variables
c:     7*7 parameters
A(t-1): 7*1 independent variables

using the estimation results for eq.(1), i want to test inv(I-c)a in eq.(2), which is parameters for X(t)
given A(t)=A(t-1), (1) becomes
    A(t)=inv(I-c)aX(t)        (2)
there is a command "nlcom" for nonlinear combination of parameters, but, as you know, it is not for matrix, but scalar.
i can calculate each element for inv(I-c) to use it in "nlcom." but the expression for each element is too long to be available in "nlcom."
could anyone please solve this problem? i would be soooo happy if you could do that.


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