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covaricance matrix of panel data Simultaneous-Equations Mo
Posted: Wed Jun 02, 2010 6:13 am
by 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
Re: covaricance matrix of panel data Simultaneous-Equations Mo
Posted: Wed Jun 02, 2010 10:39 am
by 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.
Re: covaricance matrix of panel data Simultaneous-Equations Mo
Posted: Wed Jun 02, 2010 11:16 am
by 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?
Re: covaricance matrix of panel data Simultaneous-Equations Mo
Posted: Wed Jun 02, 2010 1:56 pm
by TomDoan
It will compute sum over i,t u(i,t)v(i,t)/total obs