gelFit-methods {momentfit} | R Documentation |
~~ Methods for Function gelFit
in Package momentfit ~~
Description
Method to fit a model using GEL, from an object of class
"momentModel"
or its restricted counterpart.
Usage
## S4 method for signature 'momentModel'
gelFit(model, gelType="EL", rhoFct=NULL,
initTheta=c("gmm", "modelTheta0"), theta0=NULL,
lambda0=NULL, vcov=FALSE, ...)
## S4 method for signature 'rmomentModel'
gelFit(model, gelType="EL", rhoFct=NULL,
initTheta=c("gmm", "modelTheta0"), theta0=NULL,
lambda0=NULL, vcov=FALSE, ...)
Arguments
model |
A model class object |
gelType |
The type of GEL. It is either |
rhoFct |
An alternative objective function for GEL. This argument
is only used if we want to fit the model with a different GEL
method. see |
initTheta |
Method to obtain the starting values for the coefficient vector. By default the GMM estimate with identity matrix is used. The second argument means that the theta0 of the object, if any, should be used. |
theta0 |
An optional initial vector for |
lambda0 |
Manual starting values for the Lagrange multiplier. By default, it is a vector of zeros. |
vcov |
Should the method computes the covariance matrices of the coefficients and Lagrange multipliers. |
... |
Arguments to pass to other methods (mostly the optimization algorithm) |
Methods
signature(model = "momentModel")
-
The main method for all moment-based models.
signature(model = "rmomentModel")
-
The main method for all restricted moment-based models.
Examples
data(simData)
theta <- c(beta0=1,beta1=2)
model1 <- momentModel(y~x1, ~z1+z2, data=simData)
## EL estimate
res1 <- gelFit(model1)
res1
## ET estimate
res2 <- gelFit(model1, gelType="ET")
res2
## Restricted models by EL
## using the Brent method
R <- matrix(c(0,1), ncol=2)
q <- 2
rmodel1 <- restModel(model1, R, q)
gelFit(rmodel1, tControl=list(method="Brent", lower=-10, upper=10))