Coefficients of GEL or GMM

It extracts the coefficients from gel or gmm objects.

# S3 method for class 'gmm'
coef(object, ...)
# S3 method for class 'gel'
coef(object, lambda = FALSE, ...)

Arguments

object

An object of class gel or gmm returned by the function gel or gmm

lambda

If set to TRUE, the lagrange multipliers are extracted instead of the vector of coefficients

...

Other arguments when coef is applied to an other class object

Value

Vector of coefficients

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)

coef(res)
#> (Intercept)         ym1         ym2 
#>  0.02176832  0.18892009  0.68086989 
coef(res, lambda = TRUE)
#> Lam((Intercept))          Lam(h1)          Lam(h2)          Lam(h3) 
#>     0.0007252678     0.0161828198     0.0143784507    -0.0204864392 
#>          Lam(h4) 
#>    -0.0149815837 
###################
res <- gmm(g, x)
coef(res)
#> (Intercept)         ym1         ym2 
#>  0.02017943  0.19078355  0.67776264