Add a useful package (from Source forge) for octave

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

diff --git a/octave_packages/econometrics-1.0.8/mle_variance.m b/octave_packages/econometrics-1.0.8/mle_variance.m
new file mode 100644 (file)
index 0000000..6466f49
--- /dev/null
+++ b/octave_packages/econometrics-1.0.8/mle_variance.m
@@ -0,0 +1,29 @@
+## 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: [V,scorecontribs,J_inv] =
+##  mle_variance(theta, data, model, modelargs)
+##
+## This is for internal use by mle_results
+
+# sandwich form of var-cov matrix
+function [V, scorecontribs, J_inv] = mle_variance(theta, data, model, modelargs)
+       scorecontribs = numgradient(model, {theta, data, modelargs});
+       n = rows(scorecontribs);
+       I = scorecontribs'*scorecontribs / n;
+       J = numhessian("mle_obj", {theta, data, model, modelargs});
+       J_inv = inverse(J);
+       V = J_inv*I*J_inv/n;
+endfunction