gmm (version 1.1-1)

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. It also compute the J-test, LM and LR tests for overidentifying restriction.

Usage

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

Arguments

object

An object of class gel returned by the function gel

...

Other arguments when summary is applied to an other classe object

Value

• It returns a list with the parameter estimates and their standard deviations, t-stats and p-values. It also returns the three tests (J, LM and LR) and p-values for the null hypothesis that $E(g(\theta,X)=0$ and several convergence codes.

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)