Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / econometrics-1.0.8 / average_moments.m

diff --git a/octave_packages/econometrics-1.0.8/average_moments.m b/octave_packages/econometrics-1.0.8/average_moments.m
new file mode 100644 (file)
index 0000000..1508c4c
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+++ b/octave_packages/econometrics-1.0.8/average_moments.m
@@ -0,0 +1,54 @@
+# Copyright (C) 2003,2004,2005  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/>.
+ 
+# for internal use by gmm_estimate 
+
+
+# average moments (separate function so it can be differentiated)
+function m = average_moments(theta, data, moments, momentargs)
+       
+       global NSLAVES PARALLEL NEWORLD NSLAVES TAG;
+
+       n = rows(data);
+
+       if PARALLEL
+               nn = floor(n/(NSLAVES + 1)); # save some work for master
+    
+               #  The command that the slave nodes will execute
+               cmd=['contrib = sum_moments_nodes(theta, data, moments, momentargs, nn); ',...  
+                       'MPI_Send(contrib,0,TAG,NEWORLD);'];    
+
+               # send items to slaves
+               NumCmds_Send({"theta", "nn", "cmd"},{theta, nn, cmd});
+
+               # evaluate last block on master while slaves are busy
+               m = feval("sum_moments_nodes", theta, data, moments, momentargs, nn);
+
+               # collect slaves' results
+               contrib = zeros(1,columns(m));
+               for i = 1:NSLAVES
+                       MPI_Recv(contrib,i,TAG,NEWORLD);
+                       m = m + contrib;
+               endfor
+
+               m = m'; # we want a column vector, please
+               m = m/n; # average please, not sum
+
+       else # serial version
+               m = feval(moments, theta, data, momentargs);
+               m = mean(m)';  # returns Gx1 moment vector
+       endif
+       
+endfunction