specTest function

Compute tests of specification

Generic function for testing the specification of estimated models. It computes the J-test from gmm objects and J-test, LR-test and LM-test from gel objects.

## S3 method for class 'gmm'
specTest(x, ...)
## S3 method for class 'gel'
specTest(x, ...)
## S3 method for class 'specTest'
print(x, digits = 5, ...)
specTest(x, ...)

Arguments

• x: A fitted model object.
• digits: The number of digits to be printed.
• ...: Arguments passed to methods.

Returns

Tests and p-values

References

Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50 , 1029-1054,

Smith, R. J. (2004), GEL Criteria for Moment Condition Models. CeMMAP working papers, Institute for Fiscal Studies

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)
specTest(res)

###################
res <- gmm(g, x)
specTest(res)