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Sourcecode: octave-econometrics version File versions

delta_method.m

# 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/>.

# Computes Delta method mean and covariance of a nonlinear
# transformation defined by "func"
function [theta_transf, var_transf] = delta_method(func, theta, otherargs, vartheta)
      theta_transf = feval(func, theta, otherargs);
      D = numgradient(func, {theta, otherargs});
      var_transf = D * vartheta * D';

endfunction

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