bootJ {gmmExtra} | R Documentation |
Compute the Bootstrap ECDF of the J-test and the P-value
bootJ(obj)
obj |
Object of class "bootGmm" returned by bootGmm |
A list that includes the test, the pvalue, and the ECDF of the J-test
Inoue, A. and Shintani M. (2006), Bootstrapping GMM estimators for time series. Journal of Econometrics, 133, 531-555,
# 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