This is a way to define a matrix for later use by an estimation program. Example 3 in the Introduction shows an application. It may be useful to use a scalar for the number of rows. Band Matrices Certain applications in time series analysis, for example the calculation of the approximations to the distribution of the Durbin-Watson statistic, require a band matrix. This has zeros everywhere except above and below the principal diagonal, which are ones.
All elements are independent draws.
MU may be a row or column vector. The mean vector is assumed to be zero. X is either a matrix or a namelist of variables, either with J columns. Each row is taken as the vector from the multivariate normal distribution. You would typically use this operation to keep estimation results.