Name

gmmLM — LM test for GMM

CALLING SEQUENCE

rlm = gmmLM(ugmm,rgmm,R,nr,np)

PARAMETERS

Input

• ugmm = tlist result for unrestricted estimation

• rgmm = tlist result for restricted estimation

• R = (#parameters x 1) vector indicating if some parameters have been sat to zero (ex: R=[1,0,0,1]) to recover ugmm('beta') dimension from rgmm('beta')

• nr = number of parameter restrictions

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

Output

• rlm a tlist with:

  -rlm('chistat') = test statisitc

  -rlm('pvalue') = pvalue of the test

  -rlm('df') = number restriction

DESCRIPTION

Performs LM test for efficient GMM

EXAMPLE

Examples taken from gmmLin_d() : rlm = gmmLM(uout,rout,[0,1,1],1);
Test if the first parameter is null
 
 
               

AUTHOR

Emmanuel Michaux 2007