Name

gmmNlWald — Wald test for GMM with nonlinear restrictions

CALLING SEQUENCE

rwd = gmmNlWald(rgmm,R,np)

PARAMETERS

Input

• rgmm = tlist result for unrestricted estimation

• R = (s x 1) vector of nonlinear restriction of the form R(p)=0, example R=['p1-1/p2';'p5-p3*p4'];

• np = 'noprint' if the user does not want to print the results

Output

• rwd a tlist with:

  -rwd('chistat') = test statisitc

  -rwd('pvalue') = pvalue of the test

  -rwd('df') = number restriction

DESCRIPTION

Performs Wald test for GMM with nonlinear restrictions

EXAMPLE

Examples taken from gmmLin_d() : R = 'p1'; rw=gmmNlWald(uout,R);
Test if the first parameter is null
 
 
 
               

AUTHOR

Emmanuel Michaux 2007