这是在建构gmm instrument时用到的参数

为保险起见都会取大范围

譬如底下例子:

  2:8 与 2:99的结果是相同的

  这时的matrix 是 28 x 6

  而2:7时,与 2:99的结果就不相同

  这时的matrix 是 27 x 6

详见plm.pdf page 31/65

#########
y~lag(y, 1:2)+lag(x1, 0:1)+lag(x2, 0:2) | lag(y, 2:99)
is similar to y~lag(y,1:2)+lag(x1, 0:1)+lag(x2, 0:2) |
                lag(y, 2:99) | lag(x1, 0:1)+lag(x2,0:2)
and indicates that all lags from 2 of y is used as gmm instruments.

The first right-hand side part describe the covariates.
The second one, which is mandatory, describes the gmm instruments.
The third one, which is optionnal,describes the ’normal’ instruments.
  By default, all the variables of the model which are not used as
  GMM instruments are used as normal instruments with the same lag
  structure as the one specified in the model.

###########
z99 <- pgmm(log(emp) ~ lag(log(emp), 1)+ lag(log(wage), 0:1) +
lag(log(capital), 0:1) | lag(log(emp), 2:99) +
lag(log(wage), 2:99) + lag(log(capital), 2:99),
data = EmplUK, effect = "twoways", model = "onestep",
transformation = "ld")
summary(z99)
Coefficients
                         Estimate Std. Error z-value  Pr(>|z|)   
lag(log(emp), 1)         0.935605   0.016302 57.3931 < 2.2e-16 ***
lag(log(wage), 0:1)0    -0.630976   0.069328 -9.1013 < 2.2e-16 ***
lag(log(wage), 0:1)1     0.482620   0.063722  7.5739 3.623e-14 ***
lag(log(capital), 0:1)0  0.483930   0.044933 10.7701 < 2.2e-16 ***
lag(log(capital), 0:1)1 -0.424393   0.047422 -8.9492 < 2.2e-16 ***