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Grocer >> Generalized Method of Moments > gmmWald

gmmWald

Wald test

CALLING SEQUENCE

rwd = gmmWald(rgmm,R,r,np)

PARAMETERS

Input

* rgmm = tlist result for unrestricted estimation

* R = is the (s x #parameters) R matrix of linear constraints in Rb = r

* r = (s x 1) r vector in Rb = r

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

 

Output

* rwd = a tlist which arguments can be:

  -rwd('chistat') = test statisitic

  -rwd('pvalue') = pvalue of the test

  -rwd('df') = number of restrictions

DESCRIPTION

Performs linear Wald test for GMM.

EXAMPLE

X = [ones(1000,1) grand(1000,1,'nor',0,1) grand(1000,1,'nor',0,1)];
b = [0;1;-1];
e = grand(1000,1,'nor',0,1);
y = X*b + e;
 
gmmopt = tlist(['gmm';'momt';'jake';'prt';'gmmit';'S']);
gmmopt('prt')=1;
gmmopt('gmmit') = 1;
gmmopt('S')='W';
gmmopt('momt')='gmmLinM';
gmmopt('jake')='gmmLinJ';
 
b0=zeros(3,1);
 
 uout=gmm('y',gmmopt,'exo=''X''','ivar=''X''','parm0=b0');
R = [1 0 0];r = 0;
 rw=gmmWald(uout,R,r);
// Example taken from gmmLin_d(): test if the first parameter is null

AUTHOR

Emmanuel Michaux 2007

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