Add a useful package (from Source forge) for octave

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

diff --git a/octave_packages/econometrics-1.0.8/gmm_variance_inefficient.m b/octave_packages/econometrics-1.0.8/gmm_variance_inefficient.m
new file mode 100644 (file)
index 0000000..8548441
--- /dev/null
+++ b/octave_packages/econometrics-1.0.8/gmm_variance_inefficient.m
@@ -0,0 +1,27 @@
+# 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 not optimal
+function V = gmm_variance_inefficient(theta, data, weight, omega, moments, momentargs)
+       D = numgradient("average_moments", {theta, data, moments, momentargs});
+       D = D';
+
+       n = rows(data);
+
+       J = D*weight*D';
+       J = inv(J);
+       I = D*weight*omega*weight*D';
+       V = (1/n)*J*I*J;
+endfunction