moment_est_gmm: GMM Estimator of moments of beta_i, intercept and moments of...

In zhan-gao/ccrm: Package for estimation of categorical coefficient regression models (Gao and Pesaran, 2023).

GMM Estimator of moments of beta_i, intercept and moments of u_i

Description

This function estimates the moments of beta_i using GMM. The moment conditions are listed in Section 3 of Gao and Pesaran (2023)

Usage

moment_est_gmm(
  x,
  y,
  z = NULL,
  s_max = 4,
  remove_intercept = TRUE,
  iter_gmm = TRUE
)

Arguments

x	regressor (N-by-1)
y	dependent variable (N-by-p_x)
z	control variables (N-by-p_z)
s_max	Maximum order of moments used in estimation
remove_intercept	whether subtract estimated intercept term in calculation of y_tilde
iter_gmm	Whether to use iterative GMM (If FALSE, use OW-GMM with initial estimates)

Value

A list contains

m_beta	estimated (b1, b2, b3)
m_beta_se	standard errors of m_beta
theta	estimated (a, sigma2, sigma3, b1, b2, b3)
theta_se	standard errors of theta
V_theta	estimated variance-covariance matrix of theta_hat
weight_mat	weight matrix used in estimation
kappa2	estimated kappa2 (b1^2 / b2)
kappa2_se	standard errors of kappa2
kappa2_tstat	t-statistic of kappa2
init_est	init_res

zhan-gao/ccrm documentation built on Oct. 22, 2023, 3:24 p.m.