coef: Coefficients of GEL or GMM

In gmm: Generalized Method of Moments and Generalized Empirical Likelihood

Coefficients of GEL or GMM

Description

It extracts the coefficients from gel or gmm objects.

Usage

## S3 method for class 'gmm'
coef(object, ...)
## S3 method for class 'gel'
coef(object, lambda = FALSE, ...)

Arguments

object	An object of class gel or gmm returned by the function gel or gmm
lambda	If set to TRUE, the lagrange multipliers are extracted instead of the vector of coefficients
...	Other arguments when coef is applied to an other class object

Value

Vector of coefficients

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)

coef(res)
coef(res, lambda = TRUE)
###################
res <- gmm(g, x)
coef(res)

gmm documentation built on June 7, 2023, 6:05 p.m.