vcov.gel {gmm} | R Documentation |
It extracts the matrix of variances and covariances from gel
objects.
## S3 method for class 'gel': vcov(object, lambda=FALSE, ...)
object |
An object of class gel returned by the function gel |
lambda |
If set to TRUE, the covariance matrix of the Lagrange multipliers is produced. |
... |
Other arguments when vcov is applied to an other classe object |
A matrix of variances and covariances
n = 500 phi<-c(.2,.7) thet <- 0 sd <- .2 x <- matrix(arima.sim(n=n,list(order=c(2,0,1),ar=phi,ma=thet,sd=sd)),ncol=1) y <- x[7:n] ym1 <- x[6:(n-1)] ym2 <- x[5:(n-2)] H <- cbind(x[4:(n-3)],x[3:(n-4)],x[2:(n-5)],x[1:(n-6)]) g <- y~ym1+ym2 x <- H t0 <- c(0,.5,.5) res <- gel(g,x,t0) vcov(res) vcov(res,lambda=TRUE)