Confidence intervals for GMM or GEL

Description

It produces confidence intervals for the coefficients from gel or gmm estimation.

Usage

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## S3 method for class 'gel'
confint(object, parm, level = 0.95, lambda = FALSE, ...)
## S3 method for class 'gmm'
confint(object, parm, level = 0.95, ...)

Arguments

object

An object of class gel or gmm returned by the function gel or gmm

parm

A specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered.

level

The confidence level

lambda

If set to TRUE, the confidence intervals for the Lagrange multipliers are produced.

...

Other arguments when confint is applied to another classe object

Value

It returns a matrix with the first column being the lower bound and the second the upper bound.

References

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

Hansen, L.P. and Heaton, J. and Yaron, A.(1996), Finit-Sample Properties of Some Alternative GMM Estimators. Journal of Business and Economic Statistics, 14 262-280.

Examples

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#################
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)

confint(res)
confint(res, level = 0.90)
confint(res, lambda = TRUE)

########################

res <- gmm(g, x)

confint(res)
confint(res, level = 0.90)