Extracting data from a formula

It extract the data from a formula y~z with instrument h and put everything in a matrix. It helps redefine the function \(g(\theta,x)\) that is required by gmm and gel.

getDat(formula, h, data, error=TRUE)

Arguments

formula

A formula that defines the linear model to be estimated (see details).

h

A \(n\times nh\) matrix of intruments(see details).

data

A data.frame or a matrix with colnames (Optionnal).

error

If FALSE, the data is generated without giving any error message

Details

The model to be estimated is based on the moment conditions \(<h,(y-z\theta)>=0\). It adds a column of ones to z and h by default. They are removed if -1 is added to the formula. The error argument has been added for sysGmm with common coefficients because the check is only valid for equation by equation identification.

Value

x: A \(n \times l\) matrix, where \(l = ncol(y)+ncol(z)+ncol(h)+2\) if "intercept" is TRUE and \(ncol(y)+ncol(z)+xcol(h)\) if "intercept" is FALSE.

nh: dimension of h

k: dimension of z

ny: dimension of y

Examples

n = 500
phi<-c(.2, .7)
thet <- 0.2
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)])

x <- getDat(y ~ ym1 + ym2, H)