[Gmm-commits] r37 - in pkg/gmm: . R inst/doc
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Mar 30 18:57:47 CEST 2011
Author: chaussep
Date: 2011-03-30 18:57:46 +0200 (Wed, 30 Mar 2011)
New Revision: 37
Modified:
pkg/gmm/DESCRIPTION
pkg/gmm/NEWS
pkg/gmm/R/gmm.R
pkg/gmm/inst/doc/gmm_with_R.pdf
Log:
Changed the way gmm deals with NA and solve a bug with timeSeries objects
Modified: pkg/gmm/DESCRIPTION
===================================================================
--- pkg/gmm/DESCRIPTION 2011-03-24 20:15:31 UTC (rev 36)
+++ pkg/gmm/DESCRIPTION 2011-03-30 16:57:46 UTC (rev 37)
@@ -1,6 +1,6 @@
Package: gmm
-Version: 1.3-5
-Date: 2011-03-24
+Version: 1.3-6
+Date: 2011-03-30
Title: Generalized Method of Moments and Generalized Empirical
Likelihood
Author: Pierre Chausse <pchausse at uwaterloo.ca>
Modified: pkg/gmm/NEWS
===================================================================
--- pkg/gmm/NEWS 2011-03-24 20:15:31 UTC (rev 36)
+++ pkg/gmm/NEWS 2011-03-30 16:57:46 UTC (rev 37)
@@ -1,3 +1,11 @@
+Changes in version 1.3-6
+
+o Bug fixed when estimating model with timeSeries objects
+o When NA were present in the data and the instruments, gmm() was not working when omitting them created different dimension.
+ If by chance it created the same dimensions, the data were not correctly aligned. Now it is aligned and the observations
+ associated with the NA's are removed. When it happens, a warning message is displayed.
+
+
Changes in version 1.3-5
o Bug fixed when estimating linear model with Z=X (OLS with robust matrix)
Modified: pkg/gmm/R/gmm.R
===================================================================
--- pkg/gmm/R/gmm.R 2011-03-24 20:15:31 UTC (rev 36)
+++ pkg/gmm/R/gmm.R 2011-03-30 16:57:46 UTC (rev 37)
@@ -43,6 +43,7 @@
m <- match(c("formula", "data"), names(mf), 0L)
mf <- mf[c(1L, m)]
mf$drop.unused.levels <- TRUE
+ mf$na.action <- "na.pass"
mf[[1L]] <- as.name("model.frame")
mf <- eval(mf, parent.frame())
mt <- attr(mf, "terms")
@@ -55,6 +56,7 @@
mfh$formula <- mfh$h
mfh$h <- NULL
mfh$drop.unused.levels <- TRUE
+ mfh$na.action <- "na.pass"
mfh[[1L]] <- as.name("model.frame")
mfh <- eval(mfh, parent.frame())
mth <- attr(mfh, "terms")
@@ -66,7 +68,7 @@
h <- cbind(rep(1,length(h)),h)
else
h <- cbind(rep(1,nrow(h)),h)
-
+ h <- as.matrix(h)
if(is.null(colnames(h)))
colnames(h) <- c("h.(Intercept)",paste("h",1:(ncol(h)-1),sep=""))
else
@@ -81,6 +83,7 @@
ny <- ncol(y)
k <- ncol(xt)
nh <- ncol(h)
+
if (nrow(y) != nrow(xt) | nrow(xt) != nrow(h) | nrow(y)!=nrow(h))
stop("The number of observations of X, Y and H must be the same")
if (nh<k)
@@ -92,7 +95,16 @@
if (ny == 1)
colnames(y) <- "y"
}
+ rownames(xt) <- rownames(y)
+ rownames(h) <- rownames(y)
x <- cbind(y,xt,h)
+ if(any(is.na(x)))
+ {
+ warning("There are missing values. Associated observations have been removed")
+ x <- na.omit(x)
+ if (nrow(x)<=k)
+ stop("The number of observations must be greater than the number of coefficients")
+ }
colnames(x)<-c(colnames(y),colnames(xt),colnames(h))
return(list(x=x,nh=nh,ny=ny,k=k,mf=mf,mt=mt,cl=cl))
}
Modified: pkg/gmm/inst/doc/gmm_with_R.pdf
===================================================================
--- pkg/gmm/inst/doc/gmm_with_R.pdf 2011-03-24 20:15:31 UTC (rev 36)
+++ pkg/gmm/inst/doc/gmm_with_R.pdf 2011-03-30 16:57:46 UTC (rev 37)
@@ -118,34 +118,34 @@
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[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/gmm -r 37
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