momentStrength-methods {momentfit}

~~ Methods for Function momentStrength in Package momentfit ~~

Description

It produces measures of the strength of the moment conditons.

Usage

## S4 method for signature 'linearModel'
momentStrength(object, theta,
vcovType=c("OLS","HC","HAC","CL"))

Arguments

object

An object of class "linearModel"

theta

Coefficient vector at which the strength must be measured. It does not impact the measure for objects of class linearModel.

vcovType

Type of covariance matrix used to compute the F-test of the first-stage regression. For HC, the function vcovHC is used with "HC1", and vcovHAC is used with the default setup is "HAC" is chosen. In summary for gmmfit objects, it is adjusted to the type of covariance that is set in the object. For type CL, clustered covariance matrix is computed. The options are the one included in the vcovOptions slot of the object (see meatCL). The object must have be defined with clusters for that to work. See momentModel.

Methods

signature(object = "functionModel")

Not implemented yet. In that case, we want some measure of the rank of the matrix of derivatives.

signature(object = "formulaModel")

Not implemented yet. In that case, we want some measure of the rank of the matrix of derivatives.

signature(object = "linearModel")

It returns the F-test of the first stage regression. It is a measure of the strength of the instruments.

signature(object = "rlinearModel")

Returns nothing for now.

signature(object = "nonlinearModel")

Not implemented yet.

Examples

data(simData)

theta <- c(beta0=1,beta1=2)
model1 <- momentModel(y~x1, ~z1+z2, data=simData)
momentStrength(model1)