GMM

GMM

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