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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

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

AUTHOR

Emmanuel Michaux 2007

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