Name

gmmMomtRestr — Performs test of moment restriction

CALLING SEQUENCE

rd = gmmMomtRestr(ugmm,rgmm,np)

PARAMETERS

Input

• ugmm = tlist result for unrestricted estimation

• rgmm = tlist result for restricted estimation

• 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 restriction

DESCRIPTION

Performs J-test of moment restrictions for efficient GMM.

EXAMPLE

 
 
 
               

AUTHOR

Emmanuel Michaux 2007