get_dat {gmm} | R Documentation |
It extract the data from a formula y~z with instrument h and put everything in a matrix. It helps redefine the function g(theta,x) that is required by gmm
and gel
.
get_dat(formula,h,intercept=TRUE)
formula |
A formula that defines the linear model to be estimated (see details). |
h |
A ntimes nh matrix of intruments(see details). |
intercept |
Should the model include a constant? It should always be the case but the choice is yours. |
The model to be estimated is based on the moment conditions <h,(y-ztheta)>=0. It adds a column of ones to z and h if "intercept" is TRUE.
x: A n times l matrix, where l = ncol(y)+ncol(z)+ncol(h)+2 if "intercept" is TRUE and ncol(y)+ncol(z)+xcol(h) if "intercept" is FALSE.
nh: dimension of h
k: dimension of z
ny: dimension of y
n = 500 phi<-c(.2,.7) thet <- 0.2 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)]) x <- get_dat(y~ym1+ym2,H)