Hi all,
I'm working with panel var model.
I got va_cov matrix of residual with command Matrix list e(Sigma)
however I want Cholesky decomposition of cov-matrix of residuals. (looking for lower triangular matrix)
anyone could help with command for chol_decom in panel var model ?
thanks in advance
I'm working with panel var model.
I got va_cov matrix of residual with command Matrix list e(Sigma)
however I want Cholesky decomposition of cov-matrix of residuals. (looking for lower triangular matrix)
anyone could help with command for chol_decom in panel var model ?
thanks in advance