Dear Stata users,
I am wondering how I can get the correlation matrix of my VAR model standard errors. I am using VAR(1) and got the covariance matrix of std.err. using matlist e(Sigma) command. Is there any way to transform this matrix into corr/std matrix?
I would much appreciate your help!
I am wondering how I can get the correlation matrix of my VAR model standard errors. I am using VAR(1) and got the covariance matrix of std.err. using matlist e(Sigma) command. Is there any way to transform this matrix into corr/std matrix?
I would much appreciate your help!
