# 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, see <http://www.gnu.org/licenses/>. # GMM variance, which assumes weights are optimal function V = gmm_variance(theta, data, weight, moments, momentargs) D = numgradient("average_moments", {theta, data, moments, momentargs}); D = D'; m = feval(moments, theta, data, momentargs); # find out how many obsns. we have n = rows(m); V = (1/n)*inv(D*weight*D'); endfunction

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