momentVcov-methods: Methods for Function 'momentVcov' in Package 'Gmm'
In gmm4: S4 Generalized Method of Moments

Description Methods Examples

It computes the estimated covariance matrix of the moment conditions based on the it is defined in the "gmmModels" class object.

signature(object = "gmmModels")
signature(object = "gelModels")
signature(object = "sysGmmModels")

data(simData)

theta <- c(beta0=1,beta1=2)
model1 <- gmmModel(y~x1, ~z1+z2, data=simData)
momentVcov(model1, theta)[,]

model2 <- gmmModel(y~x1, ~z1+z2, data=simData, vcov="iid")
momentVcov(model2, theta)

model3 <- gmmModel(y~x1, ~z1+z2, data=simData, vcov="MDS")
momentVcov(model3, theta)