[Gmm-commits] r35 - in pkg/gmm: . R inst/doc

[noreply at r-forge.r-project.org]

Author: chaussep
Date: 2011-03-24 20:54:20 +0100 (Thu, 24 Mar 2011)
New Revision: 35

Modified:
   pkg/gmm/DESCRIPTION
   pkg/gmm/NEWS
   pkg/gmm/R/gmm.R
   pkg/gmm/inst/doc/gmm_with_R.pdf
Log:
Fixed bug for linear model with X=Z

Modified: pkg/gmm/DESCRIPTION
===================================================================
--- pkg/gmm/DESCRIPTION	2010-11-26 20:41:05 UTC (rev 34)
+++ pkg/gmm/DESCRIPTION	2011-03-24 19:54:20 UTC (rev 35)
@@ -1,6 +1,6 @@
 Package: gmm
-Version: 1.3-4
-Date: 2010-10-13
+Version: 1.3-5
+Date: 2011-03-24
 Title: Generalized Method of Moments and Generalized Empirical
         Likelihood
 Author: Pierre Chausse <pchausse at uwaterloo.ca>

Modified: pkg/gmm/NEWS
===================================================================
--- pkg/gmm/NEWS	2010-11-26 20:41:05 UTC (rev 34)
+++ pkg/gmm/NEWS	2011-03-24 19:54:20 UTC (rev 35)
@@ -1,6 +1,10 @@
+Changes in version 1.3-5
+
+o Bug fixed when estimating linear model with Z=X (OLS with robust matrix)
+
 Changes in version 1.3-4
 
- o It is now possible to enter the instruments in x either as a matrix 
+o It is now possible to enter the instruments in x either as a matrix 
    (like before) or as a formula. See details and examples in gmm help  
 o  A data argument is added to the gmm function. Therefore, it is no longer required 
    that the variables in data.frames be attached before using gmm(). You just need to add the option data=your_data.frame.   

Modified: pkg/gmm/R/gmm.R
===================================================================
--- pkg/gmm/R/gmm.R	2010-11-26 20:41:05 UTC (rev 34)
+++ pkg/gmm/R/gmm.R	2011-03-24 19:54:20 UTC (rev 35)
@@ -128,15 +128,26 @@
   	}
   else
   	{
+  if (ny>1)
+  	{
      whx <- solve(w, (crossprod(hm, xm) %x% diag(ny)))
      wvecyh <- solve(w, matrix(crossprod(ym, hm), ncol = 1))
      dg <- gradv(NULL,x, ny, nh, k)
      xx <- crossprod(dg, whx)
      par <- solve(xx, crossprod(dg, wvecyh))
-     gb <- matrix(colSums(g(par, x, ny, nh, k))/n, ncol = 1)
-     value <- crossprod(gb, solve(w, gb)) 
-  	}
-  
+     }
+  else
+  	{   
+     if (nh>k)
+     	{
+     	xzwz <- crossprod(xm,hm)%*%w%*%t(hm)
+     	par <- solve(xzwz%*%xm,xzwz%*%ym)	
+	     }
+	else
+		par <- solve(crossprod(hm,xm),crossprod(hm,ym))  	}
+	}
+  gb <- matrix(colSums(g(par, x, ny, nh, k))/n, ncol = 1)
+  value <- crossprod(gb, solve(w, gb)) 
   res <- list(par = par, value = value)
   return(res)
   }

Modified: pkg/gmm/inst/doc/gmm_with_R.pdf
===================================================================
--- pkg/gmm/inst/doc/gmm_with_R.pdf	2010-11-26 20:41:05 UTC (rev 34)
+++ pkg/gmm/inst/doc/gmm_with_R.pdf	2011-03-24 19:54:20 UTC (rev 35)
@@ -1174,31 +1174,35 @@
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[TRUNCATED]

To get the complete diff run:
    svnlook diff /svnroot/gmm -r 35