Implied Probabilities
It computes the implied
probabilities from objects of class gel with additional options.
## S3 method for class 'gel'
getImpProb(object, posProb=TRUE, normalize=TRUE,
checkConv=FALSE,...)object |
Object of class
|
posProb |
Should the implied probabilities be transformed into positive probabilities? |
normalize |
Should we normalize the probabilities so that they sum to one? |
checkConv |
Should we add the attribute convergence to check the sum of the probabilities and the weighted sum of the moment conditions? |
... |
Additional arguments to pass to other methods |
A vector af implied probabilities.
Newey, W.K. and Smith, R.J. (2004), Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators. Econometrica, 72, 219-255.
################# 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) pt <- getImpProb(res)
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