evalMoment-methods {momentfit} | R Documentation |
evalMoment
in Package momentfit ~~Method to evaluate the moment matrix at a given coefficient vector.
signature(object = "functionModel")
signature(object = "formulaModel")
signature(object = "regModel")
signature(object = "sysModel")
signature(object = "rsysModel")
data(simData) theta <- c(1,1) model1 <- momentModel(y~x1, ~z1+z2, data=simData) gt <- evalMoment(model1, theta) ## A nonlinearGmm g <- y~beta0+x1^beta1 h <- ~z1+z2 model2 <- momentModel(g, h, c(beta0=1, beta1=2), data=simData) gt <- evalMoment(model2, c(beta0=1, beta1=2)) ## A functionGmm fct <- function(tet, x) { m1 <- (tet[1] - x) m2 <- (tet[2]^2 - (x - tet[1])^2) m3 <- x^3 - tet[1]*(tet[1]^2 + 3*tet[2]^2) f <- cbind(m1, m2, m3) return(f) } dfct <- function(tet, x) { jacobian <- matrix(c( 1, 2*(-tet[1]+mean(x)), -3*tet[1]^2-3*tet[2]^2,0, 2*tet[2], -6*tet[1]*tet[2]), nrow=3,ncol=2) return(jacobian) } X <- rnorm(200) model3 <- momentModel(fct, X, theta0=c(beta0=1, beta1=2), grad=dfct) gt <- evalMoment(model3, c(beta0=1, beta1=2))