1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
|
# 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
|
