covaricance matrix of panel data Simultaneous-Equations Mo

[luxu1983]

in the panel data Simultaneous-Equations Models
how can i calcuate the covaricance matrix of vit and uit
my model is
yit =B*xit+vit
xit= A*yit+C*zit+uit

[TomDoan]

VCV will work fine with panel data; though as you have that written, it should be zero or the second equation isn't identified.

[luxu1983]

thank
yes it is just example
2 equations can get 2*2 matrix
does it calculate through stacking uit or vit by T as two series?

[TomDoan]

It will compute sum over i,t u(i,t)v(i,t)/total obs