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Sourcecode: octave-econometrics version File versions  Download package

gmm_estimate.m

# 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/>.

# usage: [theta, obj_value, convergence, iters] =
#           gmm_estimate(theta, data, weight, moments, momentargs, control, nslaves)
#
# inputs:
#      theta: column vector initial parameters
#       data: data matrix
#     weight: the GMM weight matrix
#    moments: name of function computes the moments
#           (should return nXg matrix of contributions)
# momentargs: (cell) additional inputs needed to compute moments.
#           May be empty ("")
#    control: (optional) BFGS or SA controls (see bfgsmin and samin).
#             May be empty ("").
#    nslaves: (optional) number of slaves if executed in parallel
#             (requires MPITB)
#
# outputs:
# theta: GMM estimate of parameters
# obj_value: the value of the gmm obj. function
# convergence: return code from bfgsmin
#              (1 means success, see bfgsmin for details)
# iters: number of BFGS iteration used
#
# please type "gmm_example" while in octave to see an example

# call the minimizing routine
function [theta, obj_value, convergence, iters] = gmm_estimate(theta, data, weight, moments, momentargs, control, nslaves)

      if nargin < 5 error("gmm_estimate: 5 arguments required"); endif
      if nargin < 6 control = {-1}; endif # default controls
      if !iscell(control) control = {-1}; endif # default controls if receive placeholder
      if nargin < 7 nslaves = 0; endif

      if nslaves > 0
            global NSLAVES PARALLEL NEWORLD NSLAVES TAG;
            LAM_Init(nslaves);
            # Send the data to all nodes
            NumCmds_Send({"data", "weight", "moments", "momentargs"}, {data, weight, moments, momentargs});
      endif

      # bfgs or sa?
      if (size(control,1)*size(control,2) == 0) # use default bfgs if no control
            control = {Inf,0,1,1};
            method = "bfgs";
      elseif (size(control,1)*size(control,2) < 11)
            method = "bfgs";
      else method = "sa";
      endif


      if strcmp(method, "bfgs")
            [theta, obj_value, convergence, iters] = bfgsmin("gmm_obj", {theta, data, weight, moments, momentargs}, control);
      elseif strcmp(method, "sa")
            [theta, obj_value, convergence] = samin("gmm_obj", {theta, data, weight, moments, momentargs}, control);
      endif

      if nslaves > 0 LAM_Finalize; endif # clean up

endfunction

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