usage: [theta, V, obj_value] =
gmm_results(theta, data, weight, moments, momentargs, names, title, unscale, control, nslaves)
inputs:
theta: column vector initial parameters
data: data matrix
weight: the GMM weight matrix
moments: name of function computes the moments
(should return nXg matrix of contributions)
momentargs: (cell) additional inputs needed to compute moments.
May be empty ("")
names: vector of parameter names
e.g., names = char("param1", "param2");
title: string, describes model estimated
unscale: (optional) cell that holds means and std. dev. of data
(see scale_data)
control: (optional) BFGS or SA controls (see bfgsmin and samin). May be empty ("").
nslaves: (optional) number of slaves if executed in parallel
(requires MPITB)
outputs:
theta: GMM estimated parameters
V: estimate of covariance of parameters. Assumes the weight matrix
is optimal (inverse of covariance of moments)
obj_value: the value of the GMM objective function
please type "gmm_example" while in octave to see an example
Package: econometrics