bootJ {gmmExtra}R Documentation

Bootstrap J-test for Gmm

Description

Compute the Bootstrap ECDF of the J-test and the P-value

Usage

bootJ(obj)

Arguments

obj

Object of class "bootGmm" returned by bootGmm

Value

A list that includes the test, the pvalue, and the ECDF of the J-test

References

Inoue, A. and Shintani M. (2006), Bootstrapping GMM estimators for time series. Journal of Econometrics, 133, 531-555,

Examples

# Two-stage-least-squares (2SLS), or IV with iid errors.
# The model is:
# Y(t) = b[0] + b[1]C(t) + b[2]Y(t-1) + e(t)
# e(t) is an MA(1)
# The instruments are Z(t)={1 C(t) y(t-2) y(t-3) y(t-4)}
     
getdat <- function(n) 
     {
     e <- arima.sim(n,model=list(ma=.9))
     C <- runif(n,0,5)
     Y <- rep(0,n)
     Y[1] = 1 + 2*C[1] + e[1]
     for (i in 2:n){
     Y[i] = 1 + 2*C[i] + 0.9*Y[i-1] + e[i]
     }
     Yt <- Y[5:n]
     X <- cbind(1,C[5:n],Y[4:(n-1)])
     Z <- cbind(1,C[5:n],Y[3:(n-2)],Y[2:(n-3)],Y[1:(n-4)]) 
     return(list(Y=Yt,X=X,Z=Z))
     }
     
set.seed(123)
d <- getdat(500)
res <- gmm(Y~X-1,~Z-1, data=d)
resB <- bootGmm(res, 25, seed = 123, niter = 1)
J <- bootJ(resB)
J$test

[Package gmmExtra version 0.0-3 Index]