solveGmm-methods {momentfit} | R Documentation |
solveGmm
in Package momentfit ~~The main function to get the GMM solution for a given weighting matrix.
## S4 method for signature 'linearModel,momentWeights' solveGmm(object, wObj, theta0=NULL, ...) ## S4 method for signature 'allNLModel,momentWeights' solveGmm(object, wObj, theta0=NULL, algo=c("optim","nlminb"), ...) ## S4 method for signature 'rnonlinearModel,momentWeights' solveGmm(object, wObj, theta0=NULL, ...) ## S4 method for signature 'slinearModel,sysMomentWeights' solveGmm(object, wObj, theta0=NULL) ## S4 method for signature 'rslinearModel,sysMomentWeights' solveGmm(object, wObj, theta0=NULL) ## S4 method for signature 'snonlinearModel,sysMomentWeights' solveGmm(object, wObj, theta0=NULL, ...) ## S4 method for signature 'sfunctionModel,sysMomentWeights' solveGmm(object, wObj, theta0=NULL, ...)
object |
A moment-based model |
theta0 |
The vector of coefficients for the starting values used
in |
wObj |
An object of class |
algo |
The numerical algorithm to minimize the objective function. |
... |
Arguments to pass to |
A list with the following:
theta |
The vector of solution |
convergence |
convergence code. 0 means normal convergence. For
higher numbers, see |
signature(object = "allNLMoment", wObj = "momentWeights")
Method to solve either nonlinear regressions or models in which moments are computed with a function. The objective is minimized using optim.
signature(object = "rnonlinearModel", wObj = "momentWeights")
Method to solve restricted nonlinear models. It computes the analytical solution.
signature(object = "linearModel", wObj = "momentWeights")
Method to solve linear models. It computes the analytical solution.
signature(object = "slinearModel", wObj = "sysMomentWeights")
Method to solve system of linear models. It computes the analytical solution.
signature(object = "rslinearModel", wObj = "sysMomentWeights")
Method to solve system of linear models in which restrictions have been imposed on the coefficients. It computes the analytical solution.
signature(object = "slinearModel", wObj = "sysMomentWeights")
Method to solve system of nonlinear models. The solution is obtained with optim using the analytical derivatives.
data(simData) theta <- c(beta0=1,beta1=2) model1 <- momentModel(y~x1, ~z1+z2, data=simData) ## A manual two-step GMM w0 <- evalWeights(model1, w="ident") theta0 <- solveGmm(model1, w0)$theta w <- evalWeights(model1, theta0) theta1 <- solveGmm(model1, w)$theta