getDat function

Extracting data from a formula

It extract the data from a formula y~z with instrument h and put everything in a matrix. It helps redefine the function $g(\theta,x)$ that is required by gmm and gel.

getDat(formula, h, data, error=TRUE)

Arguments

• formula: A formula that defines the linear model to be estimated (see details).
• h: A $n\times nh$ matrix of intruments(see details).
• data: A data.frame or a matrix with colnames (Optionnal).
• error: If FALSE, the data is generated without giving any error message

Details

The model to be estimated is based on the moment conditions $<h,(y-z\theta)>=0$. It adds a column of ones to z and h by default. They are removed if -1 is added to the formula. The error argument has been added for sysGmm with common coefficients because the check is only valid for equation by equation identification.

Returns

x: A $n \times l$ matrix, where $l = ncol(y)+ncol(z)+ncol(h)+2$ if "intercept" is TRUE and $ncol(y)+ncol(z)+xcol(h)$ if "intercept" is FALSE.

nh: dimension of h

k: dimension of z

ny: dimension of y

Examples

n = 500
phi<-c(.2, .7)
thet <- 0.2
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)])

x <- getDat(y ~ ym1 + ym2, H)