gmm (version 1.8)

specTest: Compute tests of specification

Description

Generic function for testing the specification of estimated models. It computes the J-test from gmm objects and J-test, LR-test and LM-test from gel objects.

Usage

# S3 method for gmm
specTest(x, ...)
# S3 method for gel
specTest(x, ...)
# S3 method for specTest
print(x, digits = 5, ...)
specTest(x, ...)

Value

Tests and p-values

Arguments

x

A fitted model object.

digits

The number of digits to be printed.

...

Arguments passed to methods.

References

Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50, 1029-1054,

Smith, R. J. (2004), GEL Criteria for Moment Condition Models. CeMMAP working papers, Institute for Fiscal Studies

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)
specTest(res)

###################
res <- gmm(g, x)
specTest(res)