--- /dev/null
+# 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 optimal
+function V = gmm_variance(theta, data, weight, moments, momentargs)
+ D = numgradient("average_moments", {theta, data, moments, momentargs});
+ D = D';
+ m = feval(moments, theta, data, momentargs); # find out how many obsns. we have
+ n = rows(m);
+ V = (1/n)*inv(D*weight*D');
+endfunction