Add a useful package (from Source forge) for octave

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

diff --git a/octave_packages/econometrics-1.0.8/gmm_example.m b/octave_packages/econometrics-1.0.8/gmm_example.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/>.
+
+# GMM example file, shows initial consistent estimator,
+# estimation of efficient weight, and second round
+# efficient estimator
+
+
+n = 1000;
+k = 5;
+
+x = [ones(n,1) randn(n,k-1)];
+w = [x, rand(n,1)];
+theta_true = ones(k,1);
+lambda = exp(x*theta_true);
+y = poissrnd(lambda);
+[xs, scalecoef] = scale_data(x);
+
+# The arguments for gmm_estimate
+theta = zeros(k,1);
+data = [y xs w];
+weight = eye(columns(w));
+moments = "poisson_moments";
+momentargs = {k}; # needed to know where x ends and w starts
+
+# additional args for gmm_results
+names = char("theta1", "theta2", "theta3", "theta4", "theta5");
+gmmtitle = "Poisson GMM trial";
+control = {100,0,1,1};
+
+
+# initial consistent estimate: only used to get efficient weight matrix, no screen output
+[theta, obj_value, convergence] = gmm_estimate(theta, data, weight, moments, momentargs, control);
+
+# efficient weight matrix
+# this method is valid when moments are not autocorrelated
+# the user is reponsible to properly estimate the efficient weight
+m = feval(moments, theta, data, momentargs);
+weight = inverse(cov(m));
+
+# second round efficient estimator
+gmm_results(theta, data, weight, moments, momentargs, names, gmmtitle, scalecoef, control);
+printf("\nThe true parameter values used to generate the data:\n");
+prettyprint(theta_true, names, "value");
+
+# Example doing estimation in parallel on a cluster (requires MPITB)
+# uncomment the following if you have MPITB installed
+# nslaves = 1;
+# theta = zeros(k,1);
+# nslaves = 1;
+# title = "GMM estimation done in parallel";
+# gmm_results(theta, data, weight, moments, momentargs, names, gmmtitle, scalecoef, control, nslaves);