gmm: getDat – R documentation

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getDat

Extracting data from a formula

Description

It extract the data from a formula y~z with instrument h and put everything in a matrix. It helps redefine the function g(θ,x) that is required by gmm and gel.

Usage

getDat(formula, h, data, error=TRUE)

Arguments

`formula`	A formula that defines the linear model to be estimated (see details).
`h`	A n\times nh matrix of intruments(see details).
`data`	A data.frame or a matrix with colnames (Optionnal).
`error`	If FALSE, the data is generated without giving any error message

Details

The model to be estimated is based on the moment conditions <h,(y-zθ)>=0. It adds a column of ones to z and h by default. They are removed if -1 is added to the formula. The error argument has been added for sysGmm with common coefficients because the check is only valid for equation by equation identification.

Value

x: A n \times l matrix, where l = ncol(y)+ncol(z)+ncol(h)+2 if "intercept" is TRUE and ncol(y)+ncol(z)+xcol(h) if "intercept" is FALSE.

nh: dimension of h

k: dimension of z

ny: dimension of y

Examples

n = 500
phi<-c(.2, .7)
thet <- 0.2
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)])

x <- getDat(y ~ ym1 + ym2, H)

gmm

Generalized Method of Moments and Generalized Empirical Likelihood

v1.6-6

GPL (>= 2)

Authors

Pierre Chausse <pchausse@uwaterloo.ca>

Initial release

2021-02-07