X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Feconometrics-1.0.8%2Fgmm_variance.m;fp=octave_packages%2Feconometrics-1.0.8%2Fgmm_variance.m;h=c06ec4a1daab9c6b0567efa9903b5a94b3ade9fd;hp=0000000000000000000000000000000000000000;hb=f5f7a74bd8a4900f0b797da6783be80e11a68d86;hpb=1705066eceaaea976f010f669ce8e972f3734b05

diff --git a/octave_packages/econometrics-1.0.8/gmm_variance.m b/octave_packages/econometrics-1.0.8/gmm_variance.m
new file mode 100644
index 0000000..c06ec4a
--- /dev/null
+++ b/octave_packages/econometrics-1.0.8/gmm_variance.m
@@ -0,0 +1,24 @@
+# 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 optimal
+function V = gmm_variance(theta, data, weight, moments, momentargs)
+	D = numgradient("average_moments", {theta, data, moments, momentargs});
+	D = D';
+	m = feval(moments, theta, data, momentargs); # find out how many obsns. we have
+	n = rows(m);
+	V = (1/n)*inv(D*weight*D');
+endfunction