gmm (version 1.8)

getImpProb: Implied Probabilities

Description

It computes the implied probabilities from objects of class gel with additional options.

Usage

# S3 method for gel
getImpProb(object, posProb=TRUE, normalize=TRUE,
                         checkConv=FALSE,...)

Value

A vector af implied probabilities.

Arguments

object

Object of class gel.

posProb

Should the implied probabilities be transformed into positive probabilities?

normalize

Should we normalize the probabilities so that they sum to one?

checkConv

Should we add the attribute convergence to check the sum of the probabilities and the weighted sum of the moment conditions?

...

Additional arguments to pass to other methods

References

Newey, W.K. and Smith, R.J. (2004), Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators. Econometrica, 72, 219-255.

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)
pt <- getImpProb(res)