From: Michael C. <mic...@ua...> - 2004-10-20 10:40:44
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Hello, I've added functions for generalized method of moments (GMM) estimation to the directory main/econometrics. The functions need the addition of help messages, but for now there is the script gmm_example.m, which shows how to use the set of functions. The basic thing a user needs to do is define a function that returns moments for estimation using the framework function m = my_moments(theta, data, otherargs) < lines to calculate moments> endfunction In this framework: * theta is a kX1 parameter vector * data is an nXp matrix * m is a nXg matrix of moment contributution * otherargs is whatever else is needed to calculate the moments The user must also provide a weight matrix. The example shows how to do this when the moments are uncorrelated. Comments/questions welcome. Michael |