[63736b]: / gmm_estimate.m  Maximize  Restore  History

Download this file

26 lines (24 with data), 1.2 kB

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
# Copyright (C) 2003,2004 Michael Creel michael.creel@uab.es
#
# 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
# performs the minimization
function [theta, obj_value, convergence, iters] = gmm_estimate(theta, data, weight, moments, momentargs, control)
gmmargs = {theta, data, weight, moments, momentargs};
if nargin < 6
[theta, obj_value, convergence, iters] = bfgsmin("gmm_obj", gmmargs);
else
[theta, obj_value, convergence, iters] = bfgsmin("gmm_obj", gmmargs, control);
endif
endfunction