35 lines
736 B
Text
35 lines
736 B
Text
|
\name{iterative.GMM}
|
||
|
|
\alias{iterative.GMM}
|
||
|
|
\usage{
|
||
|
|
iterative.GMM(start, conditions.vector, sample, ..., W, R, r, max.iter = 50,
|
||
|
|
epsilon = 1e-06)
|
||
|
|
}
|
||
|
|
\arguments{
|
||
|
|
\item{start}{Starting values for the parameters and
|
||
|
|
lagrangian}
|
||
|
|
|
||
|
|
\item{conditions.vector}{Vector of moment conditions}
|
||
|
|
|
||
|
|
\item{sample}{Individual data sample}
|
||
|
|
|
||
|
|
\item{...}{Functions of the vector of moment conditions}
|
||
|
|
|
||
|
|
\item{W}{Weighting matrix}
|
||
|
|
|
||
|
|
\item{R}{Linear constraint matrix of coefficients}
|
||
|
|
|
||
|
|
\item{r}{Linear constraint constants}
|
||
|
|
|
||
|
|
\item{max.iter}{Maximum number of iterations}
|
||
|
|
|
||
|
|
\item{epsilon}{Minimum precision level}
|
||
|
|
}
|
||
|
|
\value{
|
||
|
|
A list containing the optimized vector of parameter and
|
||
|
|
corresponding covariance matrix
|
||
|
|
}
|
||
|
|
\author{
|
||
|
|
François Pelletier
|
||
|
|
}
|
||
|
|
|