--- a +++ b/gmm_estimate.m @@ -0,0 +1,58 @@ +# Copyright (C) 2003,2004 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 +# the Free Software Foundation; either version 2 of the License, or +# (at your option) any later version. +# +# This program is distributed in the hope that it will be useful, +# but WITHOUT ANY WARRANTY; without even the implied warranty of +# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the +# GNU General Public License for more details. +# +# 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 + +# Copyright (C) 2003 Michael Creel michael.creel@uab.es +# under the terms of the GNU General Public License. +# The GPL license is in the file COPYING +# +# 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 +# the Free Software Foundation; either version 2 of the License, or +# (at your option) any later version. +# +# This program is distributed in the hope that it will be useful, +# but WITHOUT ANY WARRANTY; without even the implied warranty of +# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the +# GNU General Public License for more details. +# +# 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 + +# Copyright (C) 2003 Michael Creel michael.creel@uab.es +# under the terms of the GNU General Public License. +# The GPL license is in the file COPYING +# +# 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 +# the Free Software Foundation; either version 2 of the License, or +# (at your option) any later version. +# +# This program is distributed in the hope that it will be useful, +# but WITHOUT ANY WARRANTY; without even the implied warranty of +# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the +# GNU General Public License for more details. + +# performs the minimization +function [theta, obj_value, convergence] = gmm_estimate(theta, data, weight, moments, momentargs, control) + gmmargs = {theta, data, weight, moments, momentargs}; + if nargin < 6 + [theta, obj_value, convergence] = bfgsmin("gmm_obj", gmmargs); + else + [theta, obj_value, convergence] = bfgsmin("gmm_obj", gmmargs, control); + endif +endfunction