Question

我正在尝试使用条件矩条件在gmm软件包中应用“ gel”来估计两个参数。如果我设置“ smooth = F”，我的代码将运行良好，但是由于时刻是有条件的，因此我必须在以下代码中使用“ smooth = T”：

    install.packages("gmm")
    library(gmm)
    #dummy data
    W<-matrix(rbinom(10000,1,0.7),nrow=100,ncol=100)
    ind <- upper.tri(W)
    W[ind] <- t(W)[ind] 
    isSymmetric(W)
    ni<-rowSums(W)
    library(MASS)
    psi<-mvrnorm(1,rep(0,100),0.01*diag(100))
    x<-cbind(psi,ni,W)
    #moment condition
    g_rho<-function(tet,x){
    psi<-x[,1]
    ni<-x[,2]
    w<-x[,3:dim(x)[2]]
    rho<-c()
    sigma2<-c()
    for(i in 1:n)
    {
     rho[i]<-tet[1]/(1-tet[1]+tet[1]*ni[i])*sum(psi[which(w[i,]==1)])
     sigma2[i]<-tet[2]/(1-tet[1]+tet[1]*ni[i])
    }
    g<-cbind(sum(rho),sum(sigma2))
    return(g) 
    }
    #derivative of moment condition
    dg_rho<-function(tet,x)
    {
    psi<-x[,1]
    ni<-x[,2]
    w<-x[,3:dim(x)[2]]
     d_rho<-c()
     d_sigma2<-c()
    for(i in 1:n)
    {
     d_rho[i]<-sum(psi[which(w[i,]==1)])/(1-tet[1]+tet[1]*ni[i])*
     (tet[1]/(1-tet[1]+tet[1]*ni[i]))
     d_sigma2[i]<-1/(1-tet[1]+tet[1]*ni[i])
    }
     dg<-matrix(c(sum(d_rho),sum(d_sigma2)),nrow=2,ncol=1) 
     return(dg)
    }
    # code for estimating the parameters using GEL method
    gel(g_rho, x, tet0 =c(runif(1,0,1),0.01), gradv = dg_rho, smooth = T,
    type = "EL", kernel = c("Truncated"), bw = bwNeweyWest, 
    approx = "AR(1)", prewhite = 1, ar.method = "ols",
    tol_weights = 1e-7, tol_lam = 1e-9, tol_obj = 1e-9, tol_mom = 1e-9, 
    maxiterlam = 100, constraint = FALSE, optfct = "nlminb", 
    optlam = "Wu", Lambdacontrol = list(), model = TRUE, X = FALSE, 
    Y = FALSE,TypeGel = "baseGel", alpha = NULL, eqConst = NULL,
    eqConstFullVcov = FALSE)

运行此代码将产生以下错误：

    Error in ar.ols(x, aic = aic, order.max = order.max, 
    na.action =  na.action,  : 'order.max' must be < 'n.used'

如果我们使用选项“ smooth = F”，则代码可以正常工作。我正在寻找解决错误的指南，因为我需要使用smooth = TRUE选项。

谢谢。

使用gmm封装拟合GEL（with smooth = TRUE）时出错

0 个答案: