[63736b]: gmm_obj.m  Maximize  Restore  History

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# 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
# The GMM objective function
# 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)))
obj_value = realmax;
endif
endfunction

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