!m=4
group gr_y invch invge invgm invus
matrix sig_y = @cov( @convert(gr_y))

' gr_res ... group of SUR residulas
matrix sig_t=@cov(@convert(gr_res))

matrix sig_p = @inverse(sig_t)*sig_y

!tr=0
for !i=1 to !m
  !tr = !tr + sig_p(!i, !i)
  next

scalar r2 = 1 - !m/!tr