Add a useful package (from Source forge) for octave

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

diff --git a/octave_packages/econometrics-1.0.8/gmm_obj.m b/octave_packages/econometrics-1.0.8/gmm_obj.m
new file mode 100644 (file)
index 0000000..0cbaa19
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+++ b/octave_packages/econometrics-1.0.8/gmm_obj.m
@@ -0,0 +1,31 @@
+# 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/>.
+
+
+# The GMM objective function, for internal use by gmm_estimate
+# This is scaled so that it converges to a finite number.
+# To get the chi-square specification
+# test you need to multiply by n (the sample size)
+function obj_value = gmm_obj(theta, data, weight, moments, momentargs)
+
+       m = average_moments(theta, data, moments, momentargs);
+       
+       obj_value = m' * weight *m;
+
+       if (((abs(obj_value) == Inf)) || (isnan(obj_value)))
+               obj_value = realmax;
+       endif   
+
+endfunction