rhoFct {momentfit} | R Documentation |
Functions that returns the GEL function ρ(g(θ,x)'λ) and its derivatives.
rhoET(gmat, lambda, derive = 0, k = 1) rhoETEL(gmat, lambda, derive = 0, k = 1) rhoEL(gmat, lambda, derive = 0, k = 1) rhoEEL(gmat, lambda, derive = 0, k = 1) rhoREEL(gmat, lambda, derive = 0, k = 1) rhoHD(gmat, lambda, derive = 0, k = 1) rhoETHD(gmat, lambda, derive = 0, k = 1)
gmat |
The n \times q matrix of moments |
lambda |
The q \times 1 vector of Lagrange multipliers. |
derive |
An integer which indicates which derivative to return |
k |
A numeric scaling factor that is required when |
It returns the vector ρ(gmat λ) when derive=0
,
ρ'(gmat λ) when derive=1
and ρ''(gmat
λ) when derive=2
.
Anatolyev, S. (2005), GMM, GEL, Serial Correlation, and Asymptotic Bias. Econometrica, 73, 983-1002.
Kitamura, Yuichi (1997), Empirical Likelihood Methods With Weakly Dependent Processes. The Annals of Statistics, 25, 2084-2102.
Kitamura, Y. and Otsu, T. and Evdokimov, K. (2013), Robustness, Infinitesimal Neighborhoods and Moment Restrictions. Econometrica, 81, 1185-1201.
Newey, W.K. and Smith, R.J. (2004), Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators. Econometrica, 72, 219-255.
Smith, R.J. (2011), GEL Criteria for Moment Condition Models. Econometric Theory, 27(6), 1192–1235.