confint {gmm} | R Documentation |
It produces confidence intervals for the coefficients from gel
or gmm
estimation.
## S3 method for class 'gel': confint(object, parm, level = 0.95, lambda = FALSE, ...) ## S3 method for class 'gmm': confint(object, parm, level = 0.95, ...)
object |
An object of class gel or gmm returned by the function gel or gmm |
parm |
A specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered. |
level |
The confidence level |
lambda |
If set to TRUE, the confidence intervals for the Lagrange multipliers are produced. |
... |
Other arguments when confint is applied to another classe object |
It returns a matrix with the first column being the lower bound and the second the upper bound.
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 t0 <- c(0,.5,.5) res <- gel(g, x, t0) confint(res) confint(res, level = 0.90) confint(res, lambda = TRUE) ######################## res <- gmm(g, x) confint(res) confint(res, level = 0.90)