# Copyright (C) 2003,2004,2005 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, see <http://www.gnu.org/licenses/>. # The GMM objective function, for internal use by gmm_estimate # 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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