variance-covariance matrix

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Scalper
Posts: 34
Joined: Wed Jun 30, 2010 11:43 am

variance-covariance matrix

Postby Scalper » Tue Feb 14, 2012 11:03 am

hello,

How can i calculatue the variance-covariance matrix in Eviews?

best regards
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startz
Non-normality and collinearity are NOT problems!
Posts: 3796
Joined: Wed Sep 17, 2008 2:25 pm

Re: variance-covariance matrix

Postby startz » Tue Feb 14, 2012 11:05 am

The variance-covariance matrix of what?
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Scalper
Posts: 34
Joined: Wed Jun 30, 2010 11:43 am

Re: variance-covariance matrix

Postby Scalper » Tue Feb 14, 2012 11:34 am

of the reduced form VAR
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startz
Non-normality and collinearity are NOT problems!
Posts: 3796
Joined: Wed Sep 17, 2008 2:25 pm

Re: variance-covariance matrix

Postby startz » Tue Feb 14, 2012 11:37 am

View/residuals/covariance matrix in the VAR?
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Scalper
Posts: 34
Joined: Wed Jun 30, 2010 11:43 am

Re: variance-covariance matrix

Postby Scalper » Tue Feb 14, 2012 11:41 am

thank you startz.

What test we have to do for observe the contemporaneous relationship on variables?!

regards
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