[Gmm-commits] r241 - in pkg/momentfit: . R

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

Author: chaussep
Date: 2024-07-04 21:19:48 +0200 (Thu, 04 Jul 2024)
New Revision: 241

Modified:
   pkg/momentfit/NEWS
   pkg/momentfit/R/momentModel-methods.R
   pkg/momentfit/R/momentModel.R
   pkg/momentfit/R/sysMomentModel.R
   pkg/momentfit/R/validity.R
Log:
added the option order.by for HAC vcov

Modified: pkg/momentfit/NEWS
===================================================================
--- pkg/momentfit/NEWS	2024-06-04 21:34:54 UTC (rev 240)
+++ pkg/momentfit/NEWS	2024-07-04 19:19:48 UTC (rev 241)
@@ -10,6 +10,8 @@
 
 o The gmm estimation does not work well when the weighting matrix is singular or nearly singular. It was shown that using a generalized inverse instead of the regular inverse is preferred. It is now optional to use a Moore-Penrose inverse when ever it is needed.
 
+o It is now possible to add the argument order.by to the vcovOptions argument of momentModel. This is passed to vcovHAC and is relevant when the data are not properly ordered.
+
 Changes in version 0.5
 
 o The Makevars was modified. The previous version was hard to install on most MAC because of an unnecessary flag. It is no longer the case. 

Modified: pkg/momentfit/R/momentModel-methods.R
===================================================================
--- pkg/momentfit/R/momentModel-methods.R	2024-06-04 21:34:54 UTC (rev 240)
+++ pkg/momentfit/R/momentModel-methods.R	2024-07-04 19:19:48 UTC (rev 241)
@@ -546,10 +546,10 @@
               }
               weights <- weightsAndrews(x = gmat, bw = bw, kernel = options$kernel, 
                                         prewhite = options$prewhite, tol = options$tol)
-              w <- meatHAC(x = gmat, order.by = NULL, weights = weights, 
+              w <- meatHAC(x = gmat, order.by = options$order.by, 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)
+              attr(w, "Spec") <- list(weights = weights, bw = bw, kernel = options$kernel, order.by = options$order.by)
               w
           })
 

Modified: pkg/momentfit/R/momentModel.R
===================================================================
--- pkg/momentfit/R/momentModel.R	2024-06-04 21:34:54 UTC (rev 240)
+++ pkg/momentfit/R/momentModel.R	2024-07-04 19:19:48 UTC (rev 241)
@@ -9,7 +9,7 @@
                                crit = 1e-06,
                                bw = "Andrews", prewhite = 1L,
                                ar.method = "ols", approx = "AR(1)", 
-                               tol = 1e-07, adjust=TRUE)
+                               tol = 1e-07, adjust=TRUE, order.by=NULL)
                 if (length(addO) > 0)
                     {
                         if (!all(names(addO) %in% names(option)))
@@ -28,6 +28,23 @@
                 else
                     if (!existsFunction(paste("bw",option$bw,sep="")))
                         stop("The bandwidth function does not exist")
+                if (!is.null(option$order.by))
+                {
+                    if (!inherits(option$order.by, c("numeric","integer","formula")))
+                        stop("order.by must be either a numeric or integer  vector, or a formula")
+                    if (inherits(option$order.by, c("numeric", "integer")))
+                        if (length(option$order.by) != nrow(data))
+                            stop("order.by must have the same length as the number of rows in data")
+                    if (inherits(option$order.by, "formula"))
+                    {
+                        fn <- all.vars(option$order.by[[length(option$order.by)]])
+                        if (length(fn)>1)
+                            stop("The order.by formula must contain only one variable.")
+                        option$order.by <- try(data[[fn]], silent=TRUE)
+                        if (inherits(option$order.by,"try-error"))
+                            stop("The variable in the order.by formula is not in data")
+                    }
+                }
             } else if (type=="CL") {
                 option <- list(cluster=NULL, type="HC0", cadjust=TRUE,
                                multi0=FALSE)

Modified: pkg/momentfit/R/sysMomentModel.R
===================================================================
--- pkg/momentfit/R/sysMomentModel.R	2024-06-04 21:34:54 UTC (rev 240)
+++ pkg/momentfit/R/sysMomentModel.R	2024-07-04 19:19:48 UTC (rev 241)
@@ -70,6 +70,8 @@
     if (!is.list(vcovOptions) | !is.list(survOptions))
         stop("vcovOptions and survOptions must be a list")
     vcovOptions <- .getVcovOptions(vcov, data, vcovOptions, FALSE)
+    if (!is.null(vcovOptions$order.by))
+        stop("The HAC option order.by is not available for systems of equations")
     survOptions <- .getSurvOptions(data, survOptions)
     if (!is.list(data) && !is.environment(data)) 
         stop("'data' must be a list or an environment")

Modified: pkg/momentfit/R/validity.R
===================================================================
--- pkg/momentfit/R/validity.R	2024-06-04 21:34:54 UTC (rev 240)
+++ pkg/momentfit/R/validity.R	2024-07-04 19:19:48 UTC (rev 241)
@@ -445,9 +445,9 @@
     }
     if (length(object at wSpec)>0)
     {
-        if (!all(names(object at wSpec) %in% c("bw", "kernel","weights")))
+        if (!all(names(object at wSpec) %in% c("bw", "kernel","weights", "order.by")))
         {
-            msg <- "wSpec must contain 'bw', 'kernel', and 'weights'"
+            msg <- "wSpec must contain 'bw', 'kernel', order.by and 'weights'"
             error <- c(error, msg)
         }
     }