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prodest (version 1.0.1)

gACF: ACF Second Stage - GMM estimation

Description

gACF returns the second stage parameters estimates of ACF models. It is part of the prodestACF() routine.

Usage

gACF(theta, mZ, mW, mX, mlX, vphi, vlag.phi)

Arguments

theta

Vector of parameters to be estimated.

mZ

Matrix of instruments.

mW

Weighting matrix.

mX

Matrix of regressors.

mlX

matrix of lagged regressors.

vphi

Vector of fitted polynomial.

vlag.phi

Lagged vector of fitted polynomial.

Details

gACF() estimates the second stage of ACF routine. It accepts 7 inputs, generates and optimizes over the group of moment functions E(xi_itZ^k_it).