GMMStuff/R/covariance.GMM.R

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# Estimated covariance matrix
#
# Author: Francois Pelletier
#
# LGPL-3.0
###############################################################################
#' Estimated covariance matrix
#' @param conditions.vector Vector of moment conditions
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#' @param param Vector of estimated parameters
#' @param sample Individual data sample
#' @param ... Functions of the vector of moment conditions
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#' @return A square covariance matrix
#'
#' @author François Pelletier
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covariance.GMM <- function(conditions.vector,param,sample...)
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{
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t(conditions.vector(param,sample,...)) %*% conditions.vector(param,sample,...) / length(sample)
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}