Specifying covariance structure
Posted: Mon Aug 18, 2014 9:37 am
Hi,
I am working on a monte carlo simulation and need to draw two random variables with a multivariate normal distribution and a specific variance/covariance. These are error terms (epsilon1, epsilon2) and are being used to specify correlation across two equations to be estimated with SUR and with GMM. The errors will have 0 mean, and covariance: (1 .10 \ .10 1) I cannot find a command in the users manual that seems to help with what I would like to do.
Thanks in advance,
Anthony
I am working on a monte carlo simulation and need to draw two random variables with a multivariate normal distribution and a specific variance/covariance. These are error terms (epsilon1, epsilon2) and are being used to specify correlation across two equations to be estimated with SUR and with GMM. The errors will have 0 mean, and covariance: (1 .10 \ .10 1) I cannot find a command in the users manual that seems to help with what I would like to do.
Thanks in advance,
Anthony