summary.gmm {gmm} | R Documentation |
It presents the results from the gmm
estimation in the same fashion as summary does for the lm class objects for example. It also compute the J-test for overidentifying restriction.
## S3 method for class 'gmm': summary(object, interval=FALSE, ...)
object |
An object of class gmm returned by the function gmm |
interval |
Should the results include the confidence intervals of hat{theta}. If so, "interval" should be eqal to the confidence level. |
... |
Other arguments when summary is applied to an other classe object |
It returns a list with the parameter estimates and theirs standard deviations, t-stat and p-values. It also returns the J-test and p-value for the null hypothesis that E(g(theta,X)=0
Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50, 1029-1054,
Hansen, L.P. and Heaton, J. and Yaron, A.(1996), Finit-Sample Properties of Some Alternative GMM Estimators. Journal of Business and Economic Statistics, 14 262-280.
n = 500 phi<-c(.2,.7) thet <- 0 sd <- .2 x <- matrix(arima.sim(n=n,list(order=c(2,0,1),ar=phi,ma=thet,sd=sd)),ncol=1) y <- x[7:n] ym1 <- x[6:(n-1)] ym2 <- x[5:(n-2)] H <- cbind(x[4:(n-3)],x[3:(n-4)],x[2:(n-5)],x[1:(n-6)]) g <- y~ym1+ym2 x <- H res <- gmm(g,x) summary(res) summary(res,interval=0.95)