--- a/gmm_obj.m +++ b/gmm_obj.m @@ -1,4 +1,5 @@ -# Copyright (C) 2003,2004 Michael Creel michael.creel@uab.es +# Copyright (C) 2003,2004,2005 Michael Creel michael.creel@uab.es +# under the terms of the GNU General Public License. # # This program is free software; you can redistribute it and/or modify # it under the terms of the GNU General Public License as published by @@ -13,14 +14,16 @@ # You should have received a copy of the GNU General Public License # along with this program; if not, write to the Free Software # Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA - -# The GMM objective function -# This is scaled so that it converges to a -# finite number. To get the chi-square specification + +# The GMM objective function, for internal use by gmm_estimate +# This is scaled so that it converges to a finite number. +# To get the chi-square specification # test you need to multiply by n (the sample size) function obj_value = gmm_obj(theta, data, weight, moments, momentargs) + m = average_moments(theta, data, moments, momentargs); + obj_value = m' * weight *m; if (((abs(obj_value) == Inf)) || (isnan(obj_value)))