[R] cor matrix in multivariate regression

[Suyan Tian]

Sorry to bother, I want to construct a correlation matrix in multivariate regression  (several dependent variables and they are correlated in some ways) like the followings, 

1   0.8   0  0 …     0 0 
0.8 1     0  0  …    0 0 
0    0     1  0.8 …  0 0 
0   0      0.8 1  … 0 0 
.     .       .     .         ….

.     .        .   .          

0  0                      1  0.8 
0  0                       0.8 1 

Does anyone know how to do it? 

Thanks,

Suyan Tian 
Associate Professor 
The Jilin University