getImpProb function

Implied Probabilities

It computes the implied probabilities from objects of class gel with additional options.

## S3 method for class 'gel'
getImpProb(object, posProb=TRUE, normalize=TRUE,
                         checkConv=FALSE,...)

Arguments

• object: Object of class gel.
• posProb: Should the implied probabilities be transformed into positive probabilities?
• normalize: Should we normalize the probabilities so that they sum to one?
• checkConv: Should we add the attribute convergence to check the sum of the probabilities and the weighted sum of the moment conditions?
• ...: Additional arguments to pass to other methods

Returns

A vector af implied probabilities.

References

Newey, W.K. and Smith, R.J. (2004), Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators. Econometrica, 72 , 219-255.

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)
pt <- getImpProb(res)