# NOT RUN {
# GMM #
set.seed(444)
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)]
ym3 <- x[4:(n-3)]
ym4 <- x[3:(n-4)]
ym5 <- x[2:(n-5)]
ym6 <- x[1:(n-6)]
g <- y ~ ym1 + ym2
x <- ~ym3+ym4+ym5+ym6
res <- gmm(g, x)
summary(res)
# GEL #
t0 <- res$coef
res <- gel(g, x, t0)
summary(res)
# tsls #
res <- tsls(y ~ ym1 + ym2,~ym3+ym4+ym5+ym6)
summary(res)
# }
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