gmm (version 1.0-7)

lintest: Test of linear restrictions for "gmm" class objects

Description

It tests the null hypothesis $R\theta =c$

Usage

lintest(object,R,c)

Arguments

object

An object of class "gmm" or "gel" returned by the function gmm or gel.

R

A $r\times k$ matrix (see details).

c

A $r\times 1$ matrix (see details).

Value

• It returns the wald test and the p-value of the test

Details

The class object gmm or gel returns a $k\time 1$ vector of estimates. The null hypothesis is $H0:R\theta=c$ which tests r linearly independent restrictions.

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 <- 0.2
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)