confint-methods: ~~ Methods for Function 'confint' in Package 'stats' ~~

In gmm4: S4 Generalized Method of Moments

Description

Method to contruct confidence intervals for objects of class "gmmfit" and "gelfit".

Usage

## S4 method for signature 'gmmfit'
confint(object, parm, level = 0.95, vcov=NULL,
                    area=FALSE, npoints=50, ...)

## S4 method for signature 'gelfit'
confint(object, parm, level = 0.95, lambda = FALSE,
                    type = c("Wald", "invLR", "invLM", "invJ"),
                    fact = 3, corr = NULL, vcov=NULL,
                    area = FALSE, npoints = 20, cores=4, ...)

## S4 method for signature 'numeric'
confint(object, parm, level = 0.95, gelType="EL", 
                    type = c("Wald", "invLR", "invLM", "invJ"),
                    fact = 3, vcov="iid", ...) 

## S4 method for signature 'data.frame'
confint(object, parm, level = 0.95, gelType="EL", 
                    type = c("Wald", "invLR", "invLM", "invJ"),
                    fact = 3, vcov="iid", npoints=10, 
                    cores=4, ...) 

## S4 method for signature 'matrix'
confint(object, parm, level = 0.95, ...) 

## S4 method for signature 'ANY'
confint(object, parm, level = 0.95, ...)

Arguments

object	Object of class "gmmfit", "gelfit", "numeric" or "data.frame".
parm	Vector of integers or characters for selecting the elements for which the intervals should be computed.
level	The confidence level.
lambda	Should be compute intervals for the Lagrange multipliers?
type	The type of confidence intervals. The default is the Wald interval, and the others are computed by inverting the LR, LM or J specification test.
fact	For the inversion of the specification tests, uniroot searches within fact standard error of the coefficient estimates
corr	Correction to apply to the specification tests
vcov	For Wald intervals, an optional covariance matrix can be provided. For "numeric" or "data.frame", it specifies the type of observations.
cores	The number of cores for mclapply. It is set to 1 for Windows OS.
gelType	Type of GEL confidence interval.
npoints	Number of equally spaced points for the confidence region
area	If TRUE, a cnnfidence region is computed. The length of "parm" must be 2 in that case.
...	Other arguments to pass to modelFit

Methods

signature(object = "ANY")

The method from the stats in used in that case.

signature(object = "gelfit")

Method for any GEL fit class.

signature(object = "gmmfit")

Method for any GMM fit class.

signature(object = "numeric")

It computes the GEL confidence interval for the mean.

signature(object = "data.frame")

It computes the 2D GEL confidence region for the means of two variables.

signature(object = "matrix")

It converts the object into a data.frame and call its method.

gmm4 documentation built on Dec. 6, 2019, 3:01 a.m.