Add a useful package (from Source forge) for octave

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

diff --git a/octave_packages/econometrics-1.0.8/gmm_estimate.m b/octave_packages/econometrics-1.0.8/gmm_estimate.m
new file mode 100644 (file)
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+++ b/octave_packages/econometrics-1.0.8/gmm_estimate.m
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+# 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/>.
+
+# usage: [theta, obj_value, convergence, iters] =
+#           gmm_estimate(theta, data, weight, moments, momentargs, control, nslaves)
+#
+# inputs:
+#      theta: column vector initial parameters
+#       data: data matrix
+#     weight: the GMM weight matrix
+#    moments: name of function computes the moments
+#            (should return nXg matrix of contributions)
+# momentargs: (cell) additional inputs needed to compute moments.
+#            May be empty ("")
+#    control: (optional) BFGS or SA controls (see bfgsmin and samin).
+#             May be empty ("").
+#    nslaves: (optional) number of slaves if executed in parallel
+#             (requires MPITB)
+#
+# outputs:
+# theta: GMM estimate of parameters
+# obj_value: the value of the gmm obj. function
+# convergence: return code from bfgsmin
+#              (1 means success, see bfgsmin for details)
+# iters: number of BFGS iteration used
+#
+# please type "gmm_example" while in octave to see an example
+
+# call the minimizing routine
+function [theta, obj_value, convergence, iters] = gmm_estimate(theta, data, weight, moments, momentargs, control, nslaves)
+
+       if nargin < 5 error("gmm_estimate: 5 arguments required"); endif
+       if nargin < 6 control = {-1}; endif # default controls
+       if !iscell(control) control = {-1}; endif # default controls if receive placeholder
+       if nargin < 7 nslaves = 0; endif
+
+       if nslaves > 0
+               global NSLAVES PARALLEL NEWORLD NSLAVES TAG;
+               LAM_Init(nslaves);
+               # Send the data to all nodes
+               NumCmds_Send({"data", "weight", "moments", "momentargs"}, {data, weight, moments, momentargs});
+       endif
+
+       # bfgs or sa?
+       if (size(control,1)*size(control,2) == 0) # use default bfgs if no control
+               control = {Inf,0,1,1};
+               method = "bfgs";
+       elseif (size(control,1)*size(control,2) < 11)
+               method = "bfgs";
+       else method = "sa";
+       endif
+
+
+       if strcmp(method, "bfgs")
+               [theta, obj_value, convergence, iters] = bfgsmin("gmm_obj", {theta, data, weight, moments, momentargs}, control);
+       elseif strcmp(method, "sa")
+               [theta, obj_value, convergence] = samin("gmm_obj", {theta, data, weight, moments, momentargs}, control);
+       endif
+
+       if nslaves > 0 LAM_Finalize; endif # clean up
+
+endfunction