Software Listing of Author : "Zhiguang Cao"

It applies to the cases when likelihood function is explicit

  • Platform: Matlab, Scripts
  • GMM
  • License: Freeware
  • Price: 0.00

This program is for GMM estimation input: moment: moment conditions function defined by users para0:initial value for estimated parameters Y,X:data used to estimate parameters Z: data for instrument variables number: maximum convergence number when choosing optimal weighting matrix K:number of moment conditions output: paraest:parameters estimated %t_sta: T statistics for each estimated parameter %V:covariance matrix for estimated parameters it: number of iteration Chi_sta and Pvalue: overidentifying test, null hypothesis is moment conditions are feasible

  • Platform: Matlab, Scripts
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