GMM

GMM

Description

This program is for GMM estimation
input:
moment: moment conditions function defined by users
para0:initial value for estimated parameters
Y,X:data used to estimate parameters
Z: data for instrument variables
number: maximum convergence number when choosing optimal weighting matrix
K:number of moment conditions
output:
paraest:parameters estimated
%t_sta: T statistics for each estimated parameter
%V:covariance matrix for estimated parameters
it: number of iteration
Chi_sta and Pvalue: overidentifying test, null hypothesis is moment
conditions are feasible

• Required Products: Optimization Toolbox
• MATLAB release: MATLAB 6.5.1 (R13SP1)

[roberto violi]

 

[Scott Miller]

While useful in finance, this script should be put in the statistics category.

[lin lai]

good

[Hüseyin]

 

[Alina]

Hello,
I don't really understand how to define the moment conditions function. How do I define para, num and W in your linearmodel01 example?
Thank you!