gmm (version 1.3-0)

getDat: Extracting data from a formula

Description

It extract the data from a formula y~z with instrument h and put everything in a matrix. It helps redefine the function $g(\theta,x)$ that is required by gmm and gel.

Usage

getDat(formula, h)

Arguments

formula

A formula that defines the linear model to be estimated (see details).

h

A $n\times nh$ matrix of intruments(see details).

Value

• x: A $n \times l$ matrix, where $l = ncol(y)+ncol(z)+ncol(h)+2$ if "intercept" is TRUE and $ncol(y)+ncol(z)+xcol(h)$ if "intercept" is FALSE.

  nh: dimension of h

  k: dimension of z

  ny: dimension of y

Details

The model to be estimated is based on the moment conditions $=0$. It adds a column of ones to z and h by default. They are removed if -1 is added to the formula

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)])

x <- getDat(y ~ ym1 + ym2, H)