confint.gmm {gmm} | R Documentation |
It produces confidence intervals for the coefficients from gmm
estimation.
## S3 method for class 'gmm': confint(object, parm, level=0.95, ...)
object |
An object of class gmm returned by the function gmm |
level |
The confidence level |
parm |
a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered. |
... |
Other arguments when confint is applied to an other classe object |
It returns a matrix with the first column being the lower bound and the second the upper bound.
Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50, 1029-1054,
Hansen, L.P. and Heaton, J. and Yaron, A.(1996), Finit-Sample Properties of Some Alternative GMM Estimators. Journal of Business and Economic Statistics, 14 262-280.
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 res <- gmm(g,x) confint(res) confint(res,level=0.90)