gmm (version 0.1-0)

summary.gmm: Method for object of class gmm

Description

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.

Usage

## S3 method for class 'gmm':
summary(object, ...)

Arguments

object

An object of class gmm returned by the function gmm

...

Other arguments when summary is applied to an other classe object

Value

• 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 $E(g(\theta,X)=0$

References

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.

Examples

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)

g <- function(tet,x)
	{
	n <- nrow(x)
	u <- (x[7:n] - tet[1] - tet[2]*x[6:(n-1)] - tet[3]*x[5:(n-2)])
	f <- cbind(u,u*x[5:(n-2)],u*x[4:(n-3)],u*x[3:(n-4)])
	#f <- cbind(u,u*x[5:(n-2)],u*x[4:(n-3)],u*x[3:(n-4)],u*x[2:(n-5)],u*x[1:(n-6)])
	#f <- cbind(u,u*x[4:(n-3)],u*x[3:(n-4)],u*x[2:(n-5)],u*x[1:(n-6)])
	return(f)
	}

Dg <- function(tet,x)
	{
	n <- nrow(x)
	xx <- cbind(rep(1,(n-6)),x[6:(n-1)],x[5:(n-2)])
	 H  <- cbind(rep(1,(n-6)),x[5:(n-2)],x[4:(n-3)],x[3:(n-4)])
	# H  <- cbind(rep(1,(n-6)),x[5:(n-2)],x[4:(n-3)],x[3:(n-4)],x[2:(n-5)],x[1:(n-6)])
	#H  <- cbind(rep(1,(n-5)),x[4:(n-3)],x[3:(n-4)],x[2:(n-5)],x[1:(n-6)])
	f <- -crossprod(H,xx)/(n-6)
	return(f)
	}

resgmm <- gmm(g,c(0,.3,.6),x,grad=Dg)
summary(resgmm)