lintest {gmm} | R Documentation |
It tests the null hypothesis Rtheta =c
lintest(object,R,c)
object |
An object of class "gmm" or "gel" returned by the function gmm or gel . |
R |
A rtimes k matrix (see details). |
c |
A rtimes 1 matrix (see details). |
The class object \ref{gmm}
or gel
returns a ktime 1 vector of estimates. The null hypothesis is H0:Rtheta=c which tests r linearly independent restrictions.
It returns the wald test and the p-value of the test
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 <- 0.2 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)]) g <- y~ym1+ym2 x <- H res <- gmm(g,x) # The test is Thets(ym1)=.3 and Theta(ym2)=.6 R <- cbind(c(0,0),diag(2)) c <- c(.3,.6) lintest(res,R,c)