Description Usage Arguments Value References Examples
It builds the object of either class "linearGel"
,
"nonlinearGel"
, "functionGel"
or
"formulaGel"
. This is the first step before running any
estimation algorithm.
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g 
A function of the form g(θ,x) and which returns a n \times q matrix with typical element g_i(θ,x_t) for i=1,...q and t=1,...,n. This matrix is then used to build the q sample moment conditions. It can also be a formula if the model is linear (see detailsbelow). 
x 
The matrix or vector of data from which the function g(θ,x) is computed. If "g" is a formula, it is an n \times Nh matrix of instruments or a formula (see details below). 
gelType 
A character string specifying the type of GEL. The
available types are 
rhoFct 
An optional function that return ρ(v). This is
for users who want a GEL model that is not built in the package. The
four arguments of the function must be 
theta0 
A k \times 1 vector of starting values. It is required only when "g" is a function, a formula or a list of formulas 
grad 
A function of the form G(θ,x) which returns a
q\times k matrix of derivatives of \bar{g}(θ) with
respect to θ. By default, the numerical algorithm

vcov 
Assumption on the properties of the moment conditions. By
default, they are weakly dependant processes. For 
vcovOptions 
A list of options for the covariance matrix of the
moment conditions. See 
centeredVcov 
Should the moment function be centered when computing its covariance matrix. Doing so may improve inference. 
data 
A data.frame or a matrix with column names (Optional). 
'gmmModel' returns an object of one of the subclasses of "gmmModels"
.
Anatolyev, S. (2005), GMM, GEL, Serial Correlation, and Asymptotic Bias. Econometrica, 73, 9831002.
Kitamura, Yuichi (1997), Empirical Likelihood Methods With Weakly Dependent Processes. The Annals of Statistics, 25, 20842102.
Kitamura, Y. and Otsu, T. and Evdokimov, K. (2013), Robustness, Infinitesimal Neighborhoods and Moment Restrictions. Econometrica, 81, 11851201.
Newey, W.K. and Smith, R.J. (2004), Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators. Econometrica, 72, 219255.
Smith, R.J. (2011), GEL Criteria for Moment Condition Models. Econometric Theory, 27(6), 1192–1235.
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