momentStrength-methods: ~~ Methods for Function momentStrength in Package momentfit ~~
Description
It produces measures of the strength of the moment conditons.
Usage
# S4 method for linearModel
momentStrength(object, theta,
vcovType=c("OLS","HC","HAC","CL"))
Arguments
object
An object of class "linearModel"
theta
Coefficient vector at which the strength must be
measured. It does not impact the measure for objects of class
linearModel.
vcovType
Type of covariance matrix used to
compute the F-test of the first-stage regression. For HC,
the function vcovHC is used with "HC1", and
vcovHAC is used with the default setup is "HAC" is
chosen. In summary for gmmfit objects, it is adjusted
to the type of covariance that is set in the object. For type
CL, clustered covariance matrix is computed. The options are
the one included in the vcovOptions slot of the object (see
meatCL). The object must have be defined with clusters
for that to work. See momentModel.
Methods
signature(object = "functionModel")
Not implemented yet. In that case, we want some measure of the rank of
the matrix of derivatives.
signature(object = "formulaModel")
Not implemented yet. In that case, we want some measure of the rank of
the matrix of derivatives.
signature(object = "linearModel")
It returns the F-test of the first stage regression. It is a measure of
the strength of the instruments.