# NOT RUN {
set.seed(1.234)
# the actual parameters
lower <- c(-1, -2)
upper <- c(3, Inf)
mu <- c(0, 0)
sigma <- matrix(c(1, 0.8,
0.8, 2), 2, 2)
# generate random samples
X <- rtmvnorm(n=500, mu, sigma, lower, upper)
# estimate mean vector and covariance matrix sigma from random samples X
# with default start values
gmm.fit1 <- gmm.tmvnorm(X, lower=lower, upper=upper)
# diagnostic output of the estimated parameters
summary(gmm.fit1)
vcov(gmm.fit1)
# confidence intervals
confint(gmm.fit1)
# choosing a different start value
gmm.fit2 <- gmm.tmvnorm(X, lower=lower, upper=upper,
start=list(mu=c(0.1, 0.1),
sigma=matrix(c(1, 0.4, 0.4, 1.8),2,2)))
summary(gmm.fit2)
# GMM estimation with Lee (1983) moment conditions
gmm.fit3 <- gmm.tmvnorm(X, lower=lower, upper=upper, method="Lee")
summary(gmm.fit3)
confint(gmm.fit3)
# MLE estimation for comparison
mle.fit1 <- mle.tmvnorm(X, lower=lower, upper=upper)
confint(mle.fit1)
# }
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