Displays the covariance matrix used in estimation.
The estimation covariance contains:
1. the identity matrix for OLS and TSLS
2. a diagonal matrix with equation variances used to compute WOLS and WTSLS
3. the residual covariance matrix used to compute SUR and 3SLS
4. the residual covariance matrix for unrestricted FIML; diagonal residual covariance matrix for diagonal FIML; user-specified covariance for user-covariance FIML
5. the long-run covariance of the moments used to compute the weighting matrix for GMM estimates
6. a matrix of missing values for ARCH
Syntax
system_name.estcov(options)
Options
p | Print the estimation covariance. |
Examples
sys1.estcov
displays the estimation covariance.
Cross-references