I want to estimate the forward looking version of the Taylor rule equation using the iterative nonlinear GMM:
I have the data for all the variables in the model, namely (inflation rate),
(unemployment gap) and
(effective federal funds rate) and what I am trying to estimate is the set of parameters
,
and
.
Where I need help is in the usage of the gmm()
function in the {gmm}
R package. I 'think' that the parameters of the function that I need are the parameters:
gmm(g, x, type = "iterative",...)
where g
is the formula (so, the model stated above), x
is the data vector (or matrix) and type
is the type of GMM to use.
My problem is with the data matrix parameter. I do not know the way in which to construct it (not that I don't know of matrices in R and all the examples I have seen on the internet are not similar to what I am attempting to do here. Also, this is my first time using the gmm()
function in R. Is there anything else I need to know?