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reside
2013 Apr 22
0
Copula fitMdvc:
...ameter.
Can somebody guide me where my mistake is.
Thanks,
Elisa.
#################################
#### OLS ESTIMATION
fit1 <- lm(Y1 ~ Xi)
fit2 <- lm(Y2 ~ Xi)
fit3 <- lm(Y3~ Xi)
resid1 <- Y1-as.matrix(cbind( 1,Xi))%*%fit1$coef
resid2 <- Y2-as.matrix(cbind( 1,Xi))%*%fit2$coef
resid3 <- Y3-as.matrix(cbind( 1,Xi))%*%fit3$coef
sigma1<-sum(resid1*resid1)/nrow(Xi)
sigma2<-sum(resid2*resid2)/nrow(Xi)
sigma3<-sum(resid3*resid3)/nrow(Xi)
rho12<- cor(resid1, resid2)
rho13<- cor(resid1, resid3)
rho23<- cor(resid2, resid3)
library("copula")
library(mvtnorm...