gmm (version 1.3-8)

estfun: Extracts the empirical moment function

Description

It extracts the matrix of empirical moments so that it can be used by the kernHAC function.

Usage

## S3 method for class 'gmmFct':
estfun(x, y = NULL, theta = NULL, ...)
## S3 method for class 'gmm':
estfun(x, ...)
## S3 method for class 'gel':
estfun(x, ...)

Arguments

x

A function of the form $g(\theta,y)$ or a $n \times q$ matrix with typical element $g_i(\theta,y_t)$ for $i=1,...q$ and $t=1,...,n$ or an object of class gmm. See gmm for more details.

y

The matrix or vector of data from which the function $g(\theta,y)$ is computed if g is a function.

theta

Vector of parameters if g is a function.

...

Other arguments when estfun is applied to another class object

Value

• A $n \times q$ matrix (see details).

Details

For estfun.gmmFct, it returns a $n \times q$ matrix with typical element $g_i(\theta,y_t)$ for $i=1,...q$ and $t=1,...,n$. It is only used by gmm to obtain the estimates.

For estfun.gmm, it returns the matrix of first order conditions of $\min_\theta \bar{g}'W\bar{g}/2$, which is a $n \times k$ matrix with the $t^{th}$ row being $g(\theta, y_t)W G$, where $G$ is $d\bar{g}/d\theta$. It allows to compute the sandwich covariance matrix using kernHAC or vcovHAC when $W$ is not the optimal matrix.

The method if not yet available for gel objects.

References

Zeileis A (2006), Object-oriented Computation of Sandwich Estimators. Journal of Statistical Software, 16(9), 1--16. URL http://www.jstatsoft.org/v16/i09/.

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,weightsMatrix = diag(5))

gt <- res$gt
G <- res$G

foc <- gtfoc2 <- estfun(res)

foc[1:5,]
foc2[1:5,]