GMMStuff/R/objective.GMM.R

# Objective function for the GMM method
# 
# Author: Francois Pelletier
#
# LGPL-3.0
###############################################################################

#' Objective function for the GMM method
#' @param param.lagrangian Vector of parameters and Lagrangian to optimize
#' @param conditions.vector Vector of moment conditions
#' @param sample Individual data sample
#' @param ... Functions of the vector of moment conditions
#' @param W Weighting matrix
#' @param R Linear constraint matrix of coefficients
#' @param r Linear constraint constants
#' @return A scalar value
#' @export objective.GMM
#' @author François Pelletier
objective.GMM <- function(param.lagrangian,conditions.vector,sample,...,
		W=diag(length(conditions.vector)),R=0,r=0)
{
	param <- param.lagrangian[1:num.param]
	lagrangian <- param.lagrangian[num.param+1:length(param.lagrangian)]
	colMeans(conditions.vector(param,sample,...)) %*% ginv(W) %*% colMeans(conditions.vector(param,sample,...))+ abs(t(R %*% param - r) %*% lagrangian)
}