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