gmm (version 1.3-0)

vcov: Variance-covariance matrix of GMM or GEL

Description

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

Usage

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

Arguments

object

An object of class gmm or gmm returned by the function gmm or gel

lambda

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

...

Other arguments when vcov is applied to another class object

Value

• A matrix of variances and covariances

Examples

# GMM #
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)
vcov(res)

## GEL ##

t0 <- c(0,.5,.5)
res <- gel(g, x, t0)
vcov(res)
vcov(res, lambda = TRUE)