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_inefficient.m;fp=octave_packages%2Feconometrics-1.0.8%2Fgmm_variance_inefficient.m;h=854844166374850732564375864eca90c893a446;hp=0000000000000000000000000000000000000000;hb=f5f7a74bd8a4900f0b797da6783be80e11a68d86;hpb=1705066eceaaea976f010f669ce8e972f3734b05

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
index 0000000..8548441
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+++ 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