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a/inst/gmm_obj.m | b/inst/gmm_obj.m | ||
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1 | ```
# Copyright (C) 2003,2004,2005 Michael Creel <michael.creel@uab.es>
``` |
1 | ## Copyright (C) 2003, 2004, 2005 Michael Creel <michael.creel@uab.es> |

2 | # |
2 | ## |

3 | # This program is free software; you can redistribute it and/or modify |
3 | ## This program is free software; you can redistribute it and/or modify it under |

4 | ```
# it under the terms of the GNU General Public License as published by
``` |
4 | ## the terms of the GNU General Public License as published by the Free Software |

5 | # the Free Software Foundation; either version 2 of the License, or |
5 | ## Foundation; either version 3 of the License, or (at your option) any later |

6 | # (at your option) any later version. |
6 | ## version. |

7 | # |
7 | ## |

8 | # This program is distributed in the hope that it will be useful, |
8 | ## This program is distributed in the hope that it will be useful, but WITHOUT |

9 | ```
# but WITHOUT ANY WARRANTY; without even the implied warranty of
``` |
9 | ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or |

10 | # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
10 | ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more |

11 | # GNU General Public License for more details. |
11 | ## details. |

12 | # |
12 | ## |

13 | # You should have received a copy of the GNU General Public License |
13 | ## You should have received a copy of the GNU General Public License along with |

14 | # along with this program; If not, see <http://www.gnu.org/licenses/>. |
14 | ## this program; if not, see <http://www.gnu.org/licenses/>. |

15 | 15 | ||

16 | ## The GMM objective function, for internal use by gmm_estimate |
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17 | ## This is scaled so that it converges to a finite number. |
||

18 | ## To get the chi-square specification |
||

19 | ## test you need to multiply by n (the sample size) |
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16 | 20 | ||

17 | # The GMM objective function, for internal use by gmm_estimate |
||

18 | # This is scaled so that it converges to a finite number. |
||

19 | # To get the chi-square specification |
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20 | # test you need to multiply by n (the sample size) |
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21 | function obj_value = gmm_obj(theta, data, weight, moments, momentargs) |
21 | function obj_value = gmm_obj(theta, data, weight, moments, momentargs) |

22 | 22 | ||

23 | m = average_moments(theta, data, moments, momentargs); |
23 | m = average_moments(theta, data, moments, momentargs); |

24 | 24 | ||

25 | obj_value = m' * weight *m; |
25 | obj_value = m' * weight *m; |