gmm (version 1.1-1)

coef.gel: Coefficient of GEL

Description

It extracts the coefficients from gel objects.

Usage

## S3 method for class 'gel':
coef(object, lambda=FALSE, ...)

Arguments

object

An object of class gel returned by the function gel

lambda

If set to TRUE, the lagrange multipliers are extracted instead of the vecteur of coefficients

...

Other arguments when coef is applied to an other classe object

Value

• Vector of coefficients

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)

coef(res)
coef(res,lambda=TRUE)