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statisticslinear-regressiongretl

Gretl - how to compute a matrix

i have a linear regression model:

yi = α + βxi + ui

and I want to compute:

(\sigma_u)^2(X'X)^(-1)

Can I do that in gretl and how? If not, how to get the X matrix out of gretl?

I really appreciate your reply!!!

Solution

  • Here is one approach. If you want to learn more I urge you to read the chapter 13 of the gretl guide.

    open galton
list xlist = const parent child # or list xlist 0 1 2 
matrix X = {xlist}
ols const child parent --quiet
scalar sigma_u = $sigma
matrix res = sigma_u^2 * inv(X'X)
res

##  res
## res (3 x 3)

##    0.0010799  -1.2533e-05  -3.2771e-06 
##  -1.2533e-05   2.7165e-07  -8.8464e-08 
##  -3.2771e-06  -8.8464e-08   1.3688e-07