I need to help the corect save for %xx in our program.I used montesur.prg to estimate for equation by equation OLS. My total number coefficeints is 245, so I have to have 245 by 245 matrix for %xx ( in SUR case, I have the correct %xx). But in OLS case, I have 17 by 17 matrix for %xx which comes from my first equation even though I used the GROUP command. Sombody can help me for saving %xx. The part of my program is following;
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compute nvar=13
compute nlag=3
compue nstep=20
compute ndraws=2500
cal(q) 1957
all 2*nvar 2008:2
compute firstobs=1960:1
compute lastobs=2002:4
open data f:\documents\data\finaldata.rat
data(format=rats) 1957:1 2008:2 psccom rius48 cpiu tb ffr hpdum rinewengland rimideast rigreatlakes riplains risoutheast risouthwest $
rirockymountain rifarwest
set lcop 1959:2 2002:4 = log(psccom)
set lrius / = log(rius48)
set lcpi / = log(cpiu)
set lrine / = log(rinewengland)
set lrime / = log(rimideast)
set lrigl / = log(rigreatlakes)
set lripl / = log(riplains)
set lrise / = log(risoutheast)
set lrisw / = log(risouthwest)
set lrirm / = log(rirockymountain)
set lrifw / = log(rifarwest)
*** **** ****** ****** *******
equation ynateq1 lrius
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag}
equation ynateq2 lcpi
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag}
equation ynateq3 ffr
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag}
equation ynateq4 lcop
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag}
equation ynateq5 tb
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag}
equation yregeq1 lrine
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag} lrine{1 to nlag}
equation yregeq2 lrime
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag} lrime{1 to nlag}
equation yregeq3 lrigl
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag} lrigl{1 to nlag}
equation yregeq4 lripl
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag} lripl{1 to nlag}
equation yregeq5 lrise
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag} lrise{1 to nlag}
equation yregeq6 lrisw
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag} lrisw{1 to nlag}
equation yregeq7 lrirm
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag} lrirm{1 to nlag}
equation yregeq8 lrifw
# constant hpdum lrius{1 to nlag} lcpi{1 to nlag} ffr{1 to nlag} lcop{1 to nlag} tb{1 to nlag} lrifw{1 to nlag}
group surmodel ynateq1 ynateq2 ynateq3 ynateq4 ynateq5 yregeq1 yregeq2 yregeq3 yregeq4 yregeq5 yregeq6 yregeq7 yregeq8
estimate(model=surmodel,outsigma=sigmahat) firstobs lastobs
*
* Compute the parameters for drawing from the inverse Wishart distribution based
* upon the ML estimate of sigma. The degrees of freedom correction is the average
* number of parameters per equation
*
compute svt =%decomp(inv(%nobs*sigmahat))
write svt
compute wishdof=%nobs-float(%nregsystem)/nvar
write wishdof
write %nregsystem
*
* This is to provide a rough approximation to the log constant of integration in
* the actual marginal posterior.
*
compute logfx =.5*%logdetxx(%xx)-%logdetxx(sigmahat)*.5*%nregsystem/nvar
write logfx
write %xx