getImpProb: Implied Probabilities

In gmm: Generalized Method of Moments and Generalized Empirical Likelihood

Implied Probabilities

Description

It computes the implied probabilities from objects of class gel with additional options.

Usage

 
## S3 method for class 'gel'
getImpProb(object, posProb=TRUE, normalize=TRUE,
                         checkConv=FALSE,...)

Arguments

object	Object of class gel.
posProb	Should the implied probabilities be transformed into positive probabilities?
normalize	Should we normalize the probabilities so that they sum to one?
checkConv	Should we add the attribute convergence to check the sum of the probabilities and the weighted sum of the moment conditions?
...	Additional arguments to pass to other methods

Value

A vector af implied probabilities.

References

Newey, W.K. and Smith, R.J. (2004), Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators. Econometrica, 72, 219-255.

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)
pt <- getImpProb(res)

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