gmm (version 1.1-1)

confint.gmm: Confidence intervals for gmm

Description

It produces confidence intervals for the coefficients from gmm estimation.

Usage

## S3 method for class 'gmm':
confint(object, parm, level=0.95, ...)

Arguments

object

An object of class gmm returned by the function gmm

level

The confidence level

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.

...

Other arguments when confint is applied to an other classe object

Value

• It returns a matrix with the first column being the lower bound and the second the upper bound.

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)
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)

confint(res)
confint(res,level=0.90)