It produces confidence intervals for the coefficients from `gel`

or `gmm`

estimation.

1 2 3 4 |

`object` |
An object of class |

`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 |

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

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.

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 26 27 | ```
#################
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)
``` |

Questions? Problems? Suggestions? Tweet to @rdrrHQ 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.