bread: Bread for sandwiches

Description Usage Arguments Details Value References Examples

Description

Computes the bread of the sandwich covariance matrix

Usage

1
2
3
4
5
6
## S3 method for class 'gmm'
bread(x, ...)
## S3 method for class 'gel'
bread(x, ...)
## S3 method for class 'tsls'
bread(x, ...)

Arguments

x

A fitted model of class gmm or gel.

...

Other arguments when bread is applied to another class object

Details

When the weighting matrix is not the optimal one, the covariance matrix of the estimated coefficients is: (G'WG)^{-1} G'W V W G(G'WG)^{-1}, where G=d\bar{g}/dθ, W is the matrix of weights, and V is the covariance matrix of the moment function. Therefore, the bread is (G'WG)^{-1}, which is the second derivative of the objective function.

The method if not yet available for gel objects.

Value

A k \times k matrix (see details).

References

Zeileis A (2006), Object-oriented Computation of Sandwich Estimators. Journal of Statistical Software, 16(9), 1–16. URL http://www.jstatsoft.org/v16/i09/.

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
# See \code{\link{gmm}} for more details on this example.
# With the identity matrix 
# bread is the inverse of (G'G)

n <- 1000
x <- rnorm(n, mean = 4, sd = 2)
g <- function(tet, x)
        {
        m1 <- (tet[1] - x)
        m2 <- (tet[2]^2 - (x - tet[1])^2)
        m3 <- x^3 - tet[1]*(tet[1]^2 + 3*tet[2]^2)
        f <- cbind(m1, m2, m3)
        return(f)
        }
Dg <- function(tet, x)
        {
        jacobian <- matrix(c( 1, 2*(-tet[1]+mean(x)), -3*tet[1]^2-3*tet[2]^2,0, 2*tet[2],
				-6*tet[1]*tet[2]), nrow=3,ncol=2)
        return(jacobian)
        }

res <- gmm(g, x, c(0, 0), grad = Dg,weightsMatrix=diag(3))
G <- Dg(res$coef, x)
bread(res)
solve(crossprod(G))


Search within the gmm package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.