momentVcov-methods {gmm4}R Documentation

~~ Methods for Function momentVcov in Package Gmm ~~

Description

It computes the estimated covariance matrix of the moment conditions based on the it is defined in the "gmmModels" class object.

Methods

signature(object = "gmmModels")
signature(object = "gelModels")
signature(object = "sysGmmModels")

Examples

data(simData)

theta <- c(beta0=1,beta1=2)
model1 <- gmmModel(y~x1, ~z1+z2, data=simData)
momentVcov(model1, theta)[,]

model2 <- gmmModel(y~x1, ~z1+z2, data=simData, vcov="iid")
momentVcov(model2, theta)

model3 <- gmmModel(y~x1, ~z1+z2, data=simData, vcov="MDS")
momentVcov(model3, theta)

[Package gmm4 version 0.2-0 Index]