pmpp (version 0.1.1)

get_sigma2: Produce variance of the shocks estimated using GMM residues (sigma2_0) given the common coefficients (rho0)

Description

Produce variance of the shocks estimated using GMM residues (sigma2_0) given the common coefficients (rho0)

Usage

get_sigma2(rho, alpha = 0, common_par_method, X_star, Y_star, Z_star,
  X_mat, Y_mat, Z_mat, n_alpha)

Arguments

rho

lagged dependent variable coefficients

alpha

external variables coefficients

common_par_method

method for estimating common parameters

X_star

auxiliary matrix for OFD transformation

Y_star

auxiliary matrix for OFD transformation

Z_star

auxiliary matrix for OFD transformation

X_mat

lagged dependent variable matrix

Y_mat

dependent variable matrix

Z_mat

external variable matrix

n_alpha

number of external variables