CVmodel

[MC128]

Hi Tom,

With the standard A*u_t = B*e_t and E(e_t*e_t') = D; D diagonal,

after estimating this model by the command cvmodel, how can we access the elements of the matrix D?

Many thanks!

MC

[TomDoan]

This will do it:

Code: Select all

compute ab=inv(bfrml(1))*afrml(1)
compute d  =%mqformdiag(%sigma,tr(ab))

It will produce a vector with the diagonal elements.