Compute tests of specification
Generic function for testing the specification of estimated models. It computes the J-test from gmm objects and J-test, LR-test and LM-test from
gel objects.
## S3 method for class 'gmm' specTest(x, ...) ## S3 method for class 'gel' specTest(x, ...) ## S3 method for class 'specTest' print(x, digits = 5, ...) specTest(x, ...)
x |
A fitted model object. |
digits |
The number of digits to be printed. |
... |
Arguments passed to methods. |
Tests and p-values
Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50, 1029-1054,
Smith, R. J. (2004), GEL Criteria for Moment Condition Models. CeMMAP working papers, Institute for Fiscal Studies
################# 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) specTest(res) ################### res <- gmm(g, x) specTest(res)
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