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Sourcecode: octave-econometrics version File versions

gmm_variance_inefficient.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/>.

# GMM variance, which assumes weights are not optimal
function V = gmm_variance_inefficient(theta, data, weight, omega, moments, momentargs)
      D = numgradient("average_moments", {theta, data, moments, momentargs});
      D = D';

      n = rows(data);

      J = D*weight*D';
      J = inv(J);
      I = D*weight*omega*weight*D';
      V = (1/n)*J*I*J;
endfunction

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