Description Usage Arguments Methods References Examples

It computes tests of specification for GMM fit.

1 2 3 4 5 6 7 8 9 10 11 12 | ```
## S4 method for signature 'gmmfit,missing'
specTest(object, which, df.adj=FALSE, wObj=NULL)
## S4 method for signature 'sgmmfit,missing'
specTest(object, which, df.adj=FALSE, wObj=NULL)
## S4 method for signature 'gmmfit,numeric'
specTest(object, which)
## S4 method for signature 'gelfit,missing'
specTest(object, which,
type = c("All", "LR", "LM", "J"))
``` |

`object` |
GMM or GEL fit object |

`which` |
Which sub-moment conditions to test. |

`df.adj` |
Should we adjust the covariance matrix of the moment
conditions for degrees of freedom. If |

`wObj` |
An object of class |

`type` |
For GEL, three specification tests are available |

`signature(object = "gmmfit", which="missing")`

`signature(object = "sgmmfit", which="missing")`

`signature(object = "gmmfit", which="numeric")`

Eichenbaum, M. and Hansen L. and Singleton, K. (1985). A time Series
Analysis of Representative Agent Models of Consumption and Leisure
Choise under Uncertainty. *Quarterly Journal of Economics*,
**103**, 51–78.

Hayashi, F. (2000). *Econometrics*, New Jersey: Princeton
University Press.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ```
data(simData)
model1 <- gmmModel(y~x1, ~z1+z2, data=simData)
res <- modelFit(model1)
specTest(res)
## Hayashi Example 3.3 (there is not result in the book but
## that's how we would do it for YEAR=1967
data(Griliches)
dat <- subset(Griliches, YEAR==67)
model <- gmmModel(LW~S+EXPR+IQ, ~S+EXPR+AGE+MED, data=dat, vcov="MDS")
res <- modelFit(model)
## testing the orthogonality conditions of S
specTest(res, 2)
``` |

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