[Gmm-commits] r94 - in pkg/gmm: R man

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

Author: chaussep
Date: 2016-05-24 19:58:37 +0200 (Tue, 24 May 2016)
New Revision: 94

Modified:
   pkg/gmm/R/momentEstim.R
   pkg/gmm/man/gmm.Rd
Log:
Added details in the help file of gmm about bwWihelm

Modified: pkg/gmm/R/momentEstim.R
===================================================================
--- pkg/gmm/R/momentEstim.R	2016-05-18 20:43:37 UTC (rev 93)
+++ pkg/gmm/R/momentEstim.R	2016-05-24 17:58:37 UTC (rev 94)
@@ -227,8 +227,6 @@
         z$iid <- P$iid
         z$g <- P$g
         z$WSpec <- P$WSpec
-        print(P$namesCoef)
-        print(z$coefficients)
         names(z$coefficients) <- P$namesCoef
         if (is.null(colnames(z$gt)))
             colnames(z$gt) <- paste("gt",1:ncol(z$gt),sep="")

Modified: pkg/gmm/man/gmm.Rd
===================================================================
--- pkg/gmm/man/gmm.Rd	2016-05-18 20:43:37 UTC (rev 93)
+++ pkg/gmm/man/gmm.Rd	2016-05-24 17:58:37 UTC (rev 94)
@@ -49,7 +49,12 @@
 
 \item{crit}{The stopping rule for the iterative GMM. It can be reduce to increase the precision.}
 
-\item{bw}{The method to compute the bandwidth parameter. By default it is \code{\link{bwAndrews}} which is proposed by Andrews (1991). The alternative is \code{\link{bwNeweyWest}} of Newey-West(1994).}
+\item{bw}{The method to compute the bandwidth parameter in the HAC
+  weighting matrix. The default is \code{link{bwAndrews}} (as proposed in Andrews
+  (1991)), which minimizes the MSE of the weighting matrix. Alternatives
+  are \code{link{bwWilhelm}} (as proposed in Wilhelm
+  (2015)), which minimizes the mean-square error (MSE) of the resulting
+  GMM estimator, and \code{link{bwNeweyWest}} (as proposed in Newey-West(1994)).}
 
 \item{prewhite}{logical or integer. Should the estimating functions be prewhitened? If \code{TRUE} or greater than 0 a VAR model of order \code{as.integer(prewhite)} is fitted via \code{ar} with method \code{"ols"} and \code{demean = FALSE}.}