gmm (version 1.1-1)

vcov.gel: Variance-covariance matrix of GEL

Description

It extracts the matrix of variances and covariances from gel objects.

Usage

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

Arguments

object

An object of class gel returned by the function gel

lambda

If set to TRUE, the covariance matrix of the Lagrange multipliers is produced.

...

Other arguments when vcov is applied to an other classe object

Value

• A matrix of variances and covariances

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)
vcov(res)
vcov(res,lambda=TRUE)