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Sourcecode: octave-econometrics version File versions  Download package

gmm_obj.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/>.


# 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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