[Gmm-commits] r227 - in pkg/momentfit: . R man

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

Author: chaussep
Date: 2024-02-21 20:47:21 +0100 (Wed, 21 Feb 2024)
New Revision: 227

Modified:
   pkg/momentfit/NAMESPACE
   pkg/momentfit/R/momentModel-methods.R
   pkg/momentfit/R/momentModel.R
   pkg/momentfit/R/weak.R
   pkg/momentfit/man/weakTest.Rd
Log:
working on weak instrument test again. Added the df adjustment to HAC

Modified: pkg/momentfit/NAMESPACE
===================================================================
--- pkg/momentfit/NAMESPACE	2024-02-16 22:44:26 UTC (rev 226)
+++ pkg/momentfit/NAMESPACE	2024-02-21 19:47:21 UTC (rev 227)
@@ -19,7 +19,7 @@
            "constrOptim", "kernel", "confint", "qnorm", "uniroot", "getCall", "qchisq", "optimize")
 importFrom("sandwich", "vcovHAC", "estfun","kernHAC","vcovCL", "meatCL",
            "bread","bwAndrews","bwNeweyWest","weightsAndrews",
-           "weightsLumley", "vcovHC")
+           "weightsLumley", "vcovHC", "meatHAC")
 
 ### S4 Methods and Classes
 exportClasses("nonlinearModel", "linearModel", "functionModel", "momentModel",

Modified: pkg/momentfit/R/momentModel-methods.R
===================================================================
--- pkg/momentfit/R/momentModel-methods.R	2024-02-16 22:44:26 UTC (rev 226)
+++ pkg/momentfit/R/momentModel-methods.R	2024-02-21 19:47:21 UTC (rev 227)
@@ -546,9 +546,9 @@
               }
               weights <- weightsAndrews(x = gmat, bw = bw, kernel = options$kernel, 
                                         prewhite = options$prewhite, tol = options$tol)
-              w <- vcovHAC(x = gmat, order.by = NULL, weights = weights, 
-                           prewhite = options$prewhite, sandwich = FALSE,
-                           ar.method = options$ar.method)
+              w <- meatHAC(x = gmat, order.by = NULL, weights = weights, 
+                           prewhite = options$prewhite, ar.method = options$ar.method,
+                           adjust = options$adjust, diagnostics = FALSE)
               attr(w, "Spec") <- list(weights = weights, bw = bw, kernel = options$kernel)
               w
           })

Modified: pkg/momentfit/R/momentModel.R
===================================================================
--- pkg/momentfit/R/momentModel.R	2024-02-16 22:44:26 UTC (rev 226)
+++ pkg/momentfit/R/momentModel.R	2024-02-21 19:47:21 UTC (rev 227)
@@ -9,7 +9,7 @@
                                crit = 1e-06,
                                bw = "Andrews", prewhite = 1L,
                                ar.method = "ols", approx = "AR(1)", 
-                               tol = 1e-07)
+                               tol = 1e-07, adjust=TRUE)
                 if (length(addO) > 0)
                     {
                         if (!all(names(addO) %in% names(option)))

Modified: pkg/momentfit/R/weak.R
===================================================================
--- pkg/momentfit/R/weak.R	2024-02-16 22:44:26 UTC (rev 226)
+++ pkg/momentfit/R/weak.R	2024-02-21 19:47:21 UTC (rev 227)
@@ -594,7 +594,8 @@
 
 LewMertest <- function(object, tau=0.10, size=0.05, print=TRUE,
                        estMethod = c("TSLS", "LIML"), simplified = TRUE,
-                       digits = max(3L, getOption("digits") - 3L), ...)
+                       digits = max(3L, getOption("digits") - 3L),
+                       dfCorr = TRUE, ...)
 {
     estMethod <- match.arg(estMethod)
     if (!inherits(object, "linearModel"))
@@ -631,6 +632,8 @@
     v <- cbind(y-Z2%*%b1, X2-Z2%*%Pi2)
     omega <- crossprod(v)/nrow(v)
     w <- vcov(m, c(list(b1),lapply(1:ncol(Pi2), function(i) Pi2[,i])))
+    if (dfCorr)
+        w <- w*nrow(Z2)/(nrow(Z2)-ncol(X1)-ncol(Z2))
     w2 <- w[(ncol(Z2)+1):ncol(w),(ncol(Z2)+1):ncol(w)]
     phi <- phiMat(w2, ncol(X2), ncol(Z2))
     if (dim(phi)[1] == 1)

Modified: pkg/momentfit/man/weakTest.Rd
===================================================================
--- pkg/momentfit/man/weakTest.Rd	2024-02-16 22:44:26 UTC (rev 226)
+++ pkg/momentfit/man/weakTest.Rd	2024-02-21 19:47:21 UTC (rev 227)
@@ -28,7 +28,8 @@
 
 LewMertest(object, tau=0.10, size=0.05, print=TRUE,
            estMethod = c("TSLS", "LIML"), simplified = TRUE,
-           digits = max(3L, getOption("digits") - 3L), ...)
+           digits = max(3L, getOption("digits") - 3L),
+           dfCorr = TRUE, ...)
 
 SYTables(object, print=TRUE, SWcrit=FALSE)
 
@@ -62,10 +63,13 @@
     below for details on what the functions return when it is set to
     \code{FALSE}
   }
-
+  
   \item{digits}{The number of digits to print when \code{print} is set
   to \code{TRUE}.}
 
+\item{dfCorr}{Should we correct the covariance matrix estimator for the
+  degrees of freedom?} 
+
   \item{SWcrit}{If true, the critical values and the test are ajusted to
   Sanderson and Windmeijer (2016). See details.}