# 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.

# GMM example file, shows initial consistent estimator,

# estimation of efficient weight, and second round

# efficient estimator

# This also shows how do use data scaling - WHICH YOU SHOULD DO!

1;

# the form a user-written moment function should take

function m = mymoments(theta, data, momentargs)

k = momentargs{1}; # use this so that data can hold dep, indeps, and instr

y = data(:,1);

x = data(:,2:k+1);

w = data(:, k+2:columns(data));

lambda = exp(x*theta);

e = y ./ lambda - 1;

m = dmult(e, w);

endfunction

n = 1000;

k = 5;

x = [ones(n,1) rand(n,k-1)];

w = [x, rand(n,1)];

theta = ones(k,1);

lambda = exp(x*theta);

y = randp(lambda);

[xs, scalecoef] = scale_data(x);

# The arguments for gmm_estimate

theta = zeros(k,1);

data = [y xs w];

weight = eye(columns(w));

moments = "mymoments";

momentargs = {k}; # needed to know where x ends and w starts

# additional args for gmm_results

names = str2mat("theta1", "theta2", "theta3", "theta4", "theta5");

title = "Poisson GMM trial";

control = {100,0,1,1};

# initial consistent estimate: only used to get efficient weight matrix, no screen output

[theta, obj_value, convergence] = gmm_estimate(theta, data, weight, moments, momentargs);

# efficient weight matrix

# this method is valid when moments are not autocorrelated

# the user is reponsible to properly estimate the efficient weight

m = feval(moments, theta, data, momentargs);

weight = inverse(cov(m));

# second round efficient estimator

gmm_results(theta, data, weight, moments, momentargs, names, title, scalecoef, control);