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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
Cite As
zhiguang cao (2024). GMM (https://www.mathworks.com/matlabcentral/fileexchange/12114-gmm), MATLAB Central File Exchange. Retrieved .
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Version | Published | Release Notes | |
---|---|---|---|
1.0.0.0 |