momentStrength-methods {gmm4} | R Documentation |
momentStrength
in Package gmm4 ~~It produces measures of the strength of the moment conditons.
## S4 method for signature 'linearGmm' momentStrength(object, theta, vcovType=c("OLS","HC","HAC","CL"))
object |
An object of class |
theta |
Coefficient vector at which the strength must be
measured. It does not impact the measure for objects of class
|
vcovType |
Type of covariance matrix used to
compute the F-test of the first-stage regression. For |
signature(object = "functionGmm")
Not implemented yet. In that case, we want some measure of the rank of the matrix of derivatives.
signature(object = "formulaGmm")
Not implemented yet. In that case, we want some measure of the rank of the matrix of derivatives.
signature(object = "linearGmm")
It returns the F-test of the first stage regression. It is a measure of the strength of the instruments.
signature(object = "rlinearGmm")
Returns nothing for now.
signature(object = "nonlinearGmm")
Not implemented yet.
data(simData) theta <- c(beta0=1,beta1=2) model1 <- gmmModel(y~x1, ~z1+z2, data=simData) momentStrength(model1)