Name

gmmDtest — performs D test of model comparaison for GMM

CALLING SEQUENCE

rd = gmmDtest(ugmm,rgmm,nr,np)

PARAMETERS

Input

• ugmm = tlist result for unrestricted estimation

• rgmm = tlist result for restricted estimation

• nr = number of parameter restriction

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

Output

• rd a tlist with:

  -rd('chistat') = test statisitc

  -rd('pvalue') = pvalue of the test

  -rd('df') = number of restrictions

DESCRIPTION

Performs D test of model comparison for efficient GMM as proposed by Newey and West (1987).

EXAMPLE

uout=gmm('y',gmmopt,'exo=''X''','ivar=''X''','parm0=b0');
rout=gmm('y',gmmopt,'exo=''X(:,2:3)''','ivar=''X''','parm0=[0;0]','Win=W0','noprint');
rd = gmmDtest(uout,rout,1);
 
 
Examples taken from gmmLin_d() : the first parameter is set to 0 and the model is reestimated with the prior weighting matrix, then the test is performed. 
 
 
               

AUTHOR

Emmanuel Michaux 2007