gmm (version 1.0-2)

summary.gel: Method for object of class gel

Description

It presents the results from the gel estimation in the same fashion as summary does for the lm class objects for example. It also compute the J-test, LM and LR tests for overidentifying restriction.

Usage

## S3 method for class 'gel':
summary(object, interval=FALSE, ...)

Arguments

object

An object of class gmm returned by the function gmm

interval

Should the results include the confidence intervals of $\hat{\theta}$ and $\hat{\lambda}$. If so, "interval" should be equal to the confidence level.

...

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 three tests (J, LM and LR) and p-value for the null hypothesis that $E(g(\theta,X)=0$

References

Anatolyev, S. (2005), GMM, GEL, Serial Correlation, and Asymptotic Bias. Econometrica, 73, 983-1002.

Kitamura, Yuichi (1997), Empirical Likelihood Methods With Weakly Dependent Processes. The Annals of Statistics, 25, 2084-2102.

Newey, W.K. and Smith, R.J. (2004), Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators. Econometrica, 72, 219-255.

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)
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)

summary(res)
summary(res,interval=0.95)