coef function

Coefficients of GEL or GMM

It extracts the coefficients from gel or gmm objects.

## S3 method for class 'gmm'
coef(object, ...)
## S3 method for class 'gel'
coef(object, lambda = FALSE, ...)

Arguments

• object: An object of class gel or gmm returned by the function gel or gmm
• lambda: If set to TRUE, the lagrange multipliers are extracted instead of the vector of coefficients
• ...: Other arguments when coef is applied to an other class object

Returns

Vector of coefficients

Examples

#################
n = 500
phi<-c(.2,.7)
thet <- 0
sd <- .2
x <- matrix(arima.sim(n=n,list(order=c(2,0,1),ar=phi,ma=thet,sd=sd)),ncol=1)
y <- x[7:n]
ym1 <- x[6:(n-1)]
ym2 <- x[5:(n-2)]

H <- cbind(x[4:(n-3)], x[3:(n-4)], x[2:(n-5)], x[1:(n-6)])
g <- y ~ ym1 + ym2
x <- H
t0 <- c(0,.5,.5)

res <- gel(g, x, t0)

coef(res)
coef(res, lambda = TRUE)
###################
res <- gmm(g, x)
coef(res)