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corrections GMM pour paramètres de la fonction optim

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François Pelletier 2014-03-08 00:57:43 -05:00
parent 3aecd56cc4
commit 5f356f6383
6 changed files with 17 additions and 17 deletions
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6
R/covariance.GMM.R
View file

@ -8,12 +8,12 @@
#' Estimated covariance matrix
#' @param conditions.vector Vector of moment conditions
#' @param param Vector of estimated parameters
#' @param sample Individual data sample
#' @param data Individual data sample
#' @param ... Functions of the vector of moment conditions
#' @return A square covariance matrix
#' @export covariance.GMM
#' @author François Pelletier
covariance.GMM <- function(conditions.vector,param,sample...)
covariance.GMM <- function(conditions.vector,param,data,...)
{
t(conditions.vector(param,sample,...)) %*% conditions.vector(param,sample,...) / length(sample)
t(conditions.vector(param,data,...)) %*% conditions.vector(param,data,...) / length(data)
}

10
R/iterative.GMM.R
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@ -7,7 +7,7 @@
#' Iterative GMM method
#'
#' @param start Starting values for the parameters and lagrangian
#' @param start.value Starting values for the parameters and lagrangian
#' @param conditions.vector Vector of moment conditions
#' @param data Individual data sample
#' @param W Weighting matrix
@ -17,14 +17,14 @@
#' @return A list containing the optimized vector of parameter and corresponding covariance matrix
#' @export iterative.GMM
#' @author François Pelletier
iterative.GMM <- function(start,conditions.vector,data,W,...,max.iter=50,epsilon=1E-6)
iterative.GMM <- function(start.value,conditions.vector,data,W,...,max.iter=50,epsilon=1E-6)
{
theta1 <- optim.GMM(start,conditions.vector,data,W,...)
theta1 <- optim.GMM(start.value,conditions.vector=conditions.vector,data=data,W=W,...)$par
i <- 1
repeat
{
theta2 <- optim.GMM(theta1,conditions.vector,data,W,...)
S <- covariance.GMM(conditions.vector,param,data,...)
theta2 <- optim.GMM(theta1,conditions.vector,data,W,...)$par
S <- covariance.GMM(conditions.vector,theta2,data,...)
if(sqrt(sum((theta1-theta2)^2))<epsilon)
return(list(par=theta2,cov=S))
else if (i>max.iter)

6
R/optim.GMM.R
View file

@ -7,7 +7,7 @@
#' Optimization for GMM method
#'
#' @param start Starting values for the parameters
#' @param start.value Starting values for the parameters
#' @param conditions.vector Vector of moment conditions
#' @param data Individual data sample
#' @param W Weighting matrix
@ -15,7 +15,7 @@
#' @return a list with optimization results
#' @export optim.GMM
#' @author François Pelletier
optim.GMM <- function(start,conditions.vector,data,W,...)
optim.GMM <- function(start.value,conditions.vector,data,W,...)
{
optim(start,objective.GMM,conditions.vector,data,W,...)
optim(start.value,objective.GMM,gr=NULL,conditions.vector,data,W,...)
}

4
man/covariance.GMM.Rd
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@ -2,14 +2,14 @@
\alias{covariance.GMM}
\title{Estimated covariance matrix}
\usage{
covariance.GMM(conditions.vector, param, sample...)
covariance.GMM(conditions.vector, param, data, ...)
}
\arguments{
\item{conditions.vector}{Vector of moment conditions}
\item{param}{Vector of estimated parameters}
\item{sample}{Individual data sample}
\item{data}{Individual data sample}
\item{...}{Functions of the vector of moment conditions}
}

4
man/iterative.GMM.Rd
View file

@ -2,11 +2,11 @@
\alias{iterative.GMM}
\title{Iterative GMM method}
\usage{
iterative.GMM(start, conditions.vector, data, W, ..., max.iter = 50,
iterative.GMM(start.value, conditions.vector, data, W, ..., max.iter = 50,
epsilon = 1e-06)
}
\arguments{
\item{start}{Starting values for the parameters and
\item{start.value}{Starting values for the parameters and
lagrangian}
\item{conditions.vector}{Vector of moment conditions}

4
man/optim.GMM.Rd
View file

@ -2,10 +2,10 @@
\alias{optim.GMM}
\title{Optimization for GMM method}
\usage{
optim.GMM(start, conditions.vector, data, W, ...)
optim.GMM(start.value, conditions.vector, data, W, ...)
}
\arguments{
\item{start}{Starting values for the parameters}
\item{start.value}{Starting values for the parameters}
\item{conditions.vector}{Vector of moment conditions}