Nothing
specTest <- function(x, ...)
{
UseMethod("specTest")
}
specTest.gmm <- function(x, ...)
{
if (x$infWmatrix == "ident")
{
gb <- colMeans(x$gt)
j <- try(crossprod(gb,solve(x$v,gb))*x$n, silent=TRUE)
}
else if ( (x$infVcov!="TrueFixed") & !is.null(x$weightsMatrix) )
{
gb <- colMeans(x$gt)
j <- try(crossprod(gb,solve(x$v,gb))*x$n, silent=TRUE)
}
else
j <- x$objective*x$n
if (any(class(j)=="try-error"))
{
j <- noquote(cbind("Failed", "Failed"))
} else {
j <- noquote(cbind(j, ifelse(x$df>0,pchisq(j,x$df,
lower.tail = FALSE),
"*******")))
}
J_test <- noquote(paste("J-Test: degrees of freedom is ",x$df,sep=""))
dimnames(j) <- list("Test E(g)=0: ", c("J-test", "P-value"))
ans<-list(ntest=J_test, test = j)
class(ans) <- "specTest"
ans
}
print.specTest <- function(x, digits=5, ...)
{
cat("\n","## ",x$ntest," ##","\n\n")
print.default(format(x$test, digits=digits),
print.gap = 2, quote = FALSE)
cat("\n")
invisible(x)
}
specTest.gel <- function(x, ...)
{
n <- nrow(x$gt)
khat <- x$khat
gbar <- colMeans(x$gt)
LR_test <- 2*x$objective*n*x$k2/(x$bwVal*x$k1^2)
if (x$type == "ETHD")
LR_test <- LR_test*2
LM_test <- n*crossprod(x$lambda, crossprod(khat, x$lambda))/(x$bwVal^2)
J_test <- n*crossprod(gbar, solve(khat, gbar))/(x$k1^2)
test <- c(LR_test, LM_test, J_test)
df <- x$df
ntest <- noquote(paste("Over-identifying restrictions tests: degrees of freedom is ", df, sep = ""))
vptest <- pchisq(test,df,lower.tail = FALSE)
if (df == 0)
vptest[] <- "###"
test <- cbind(test,vptest)
dimnames(test) <- list(c("LR test", "LM test", "J test"), c("statistics", "p-value"))
ans <- list(test = test, ntest = ntest)
class(ans) <- "specTest"
ans
}
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