inst/tests/checkMG.R

In pdynmc: Moment Condition Based Estimation of Linear Dynamic Panel Data Models

rm(list = ls())

library(pdynmc)


data(ABdata, package = "pdynmc")

dati			<- EmplUK
dati			<- cbind(dati[, 1:3], dati[, 4:7])
names(dati)		<- c("ireg", "t", "sector", "logy", "Sly", "mean_eta", "output")
data.info(dati, i.name = "ireg", t.name = "t")
# T = 9; N = 140



m1 <- pdynmc(dat = dati, varname.i = "ireg", varname.t = "t"
	,use.mc.diff = TRUE, use.mc.lev = FALSE, use.mc.nonlin = FALSE,  use.mc.nonlinAS = NULL, inst.stata = FALSE
	,include.y = TRUE, varname.y = "logy", lagTerms.y = 1, maxLags.y = NULL
	,include.x = TRUE
	,varname.reg.end = NULL, lagTerms.reg.end = NULL, maxLags.reg.end = NULL
	,varname.reg.pre = NULL, lagTerms.reg.pre = NULL, maxLags.reg.pre = NULL
	,varname.reg.ex = c("Sly", "mean_eta"), lagTerms.reg.ex = c(0,0), maxLags.reg.ex = c(9,9), inst.reg.ex.expand = TRUE
	,include.x.instr = FALSE, varname.reg.instr = NULL, include.x.toInstr = FALSE, varname.reg.toInstr = NULL
	,fur.con = FALSE, fur.con.diff = FALSE, fur.con.lev = FALSE, varname.reg.fur = NULL, lagTerms.reg.fur = NULL
	,include.dum = FALSE, dum.diff = NULL, dum.lev = NULL, varname.dum = NULL
	,col_tol = 0.65, w.mat = "iid.err", w.mat.stata = FALSE, std.err = "corrected"
	,estimation = "twostep"
 	,max.iter = 100, iter.tol = 0.01, inst.thresh = NULL
	,opt.meth = "none", hessian = FALSE
	,optCtrl = list(kkt = FALSE, kkttol = .Machine$double.eps^(1/3), kkt2tol = .Machine$double.eps^(1/3),
                    starttests = TRUE, dowarn = TRUE, badval = (0.25)*.Machine$double.xmax, usenumDeriv = FALSE,
                    reltol = 1e-12, maxit = 200, trace = TRUE,
                    follow.on = FALSE, save.failures = TRUE, maximize = FALSE, factr = 1e7, pgtol = 0, all.methods = FALSE)
	,custom.start.val = FALSE, start.val = NULL, start.val.lo = -1, start.val.up = 1, seed.input = 42)
summary(m1)



m2 <- pdynmc(dat = dati, varname.i = "ireg", varname.t = "t"
	,use.mc.diff = TRUE, use.mc.lev = TRUE, use.mc.nonlin = FALSE,  use.mc.nonlinAS = NULL, inst.stata = FALSE
	,include.y = TRUE, varname.y = "logy", lagTerms.y = 1, maxLags.y = NULL
	,include.x = TRUE
	,varname.reg.end = NULL, lagTerms.reg.end = NULL, maxLags.reg.end = NULL
	,varname.reg.pre = NULL, lagTerms.reg.pre = NULL, maxLags.reg.pre = NULL
	,varname.reg.ex = c("Sly", "mean_eta"), lagTerms.reg.ex = c(0,0), maxLags.reg.ex = c(9,9), inst.reg.ex.expand = TRUE
	,include.x.instr = FALSE, varname.reg.instr = NULL, include.x.toInstr = FALSE, varname.reg.toInstr = NULL
	,fur.con = FALSE, fur.con.diff = FALSE, fur.con.lev = FALSE, varname.reg.fur = NULL, lagTerms.reg.fur = NULL
	,include.dum = FALSE, dum.diff = NULL, dum.lev = NULL, varname.dum = NULL
	,col_tol = 0.65, w.mat = "iid.err", w.mat.stata = FALSE, std.err = "corrected",
	,estimation = "twostep"
 	,max.iter = 100, iter.tol = 0.01, inst.thresh = NULL
	,opt.meth = "none", hessian = FALSE
	,optCtrl = list(kkt = FALSE, kkttol = .Machine$double.eps^(1/3), kkt2tol = .Machine$double.eps^(1/3),
                    starttests = TRUE, dowarn = TRUE, badval = (0.25)*.Machine$double.xmax, usenumDeriv = FALSE,
                    reltol = 1e-12, maxit = 200, trace = TRUE,
                    follow.on = FALSE, save.failures = TRUE, maximize = FALSE, factr = 1e7, pgtol = 0, all.methods = FALSE)
	,custom.start.val = FALSE, start.val = NULL, start.val.lo = -1, start.val.up = 1, seed.input = 42)
summary(m2)