Ajout de fonctions d'optimisation et covariance

man/covariance.GMM.Rd

@@ -1,8 +1,8 @@
-\name{gmmGAL.mu.vcov}
-\alias{gmmGAL.mu.vcov}
+\name{covariance.GMM}
+\alias{covariance.GMM}
 \title{Estimated covariance matrix}
 \usage{
-gmmGAL.mu.vcov(conditions.vector, n, ...)
+covariance.GMM(conditions.vector, n, ...)
 }
 \arguments{
   \item{conditions.vector}{Vector of moment conditions}

man/delta.method.covariance.GMM.Rd

@@ -0,0 +1,24 @@
+\name{delta.method.covariance.GMM}
+\alias{delta.method.covariance.GMM}
+\title{Covariance matrix of the parameters using delta method}
+\usage{
+delta.method.covariance.GMM(covariance, gradient, size)
+}
+\arguments{
+  \item{covariance}{Covariance matrix of the moment
+  conditions}
+
+  \item{gradient}{Gradient matrix of the moment conditions}
+
+  \item{size}{Sample size}
+}
+\value{
+The covariance matrix of the parameters
+}
+\description{
+Covariance matrix of the parameters using delta method
+}
+\author{
+François Pelletier
+}
+

man/objective.GMM.Rd

@@ -1,15 +1,22 @@
-\name{obj.gmmGAL.mu}
-\alias{obj.gmmGAL.mu}
+\name{objective.GMM}
+\alias{objective.GMM}
 \title{Objective function for the GMM method}
 \usage{
-obj.gmmGAL.mu(conditions.vector, ..., W = diag(length(conditions.vector)))
+objective.GMM(param.lagrangian, conditions.vector, num.param, ...,
+  W = diag(length(conditions.vector)), R = 0, r = 0)
 }
 \arguments{
+  \item{param}{Vector of parameters to optimize}
+
   \item{conditions.vector}{Vector of moment conditions}
 
   \item{...}{Parameters of the vector of moment conditions}
 
   \item{W}{Weighting matrix}
+
+  \item{R}{Linear constraint matrix of coefficients}
+
+  \item{r}{Linear constraint constants}
 }
 \value{
 A scalar value

man/optim.GMM.Rd

@@ -0,0 +1,32 @@
+\name{optim.GMM}
+\alias{optim.GMM}
+\title{Optimization with constraints for GMM methos}
+\usage{
+optim.GMM(start, conditions.vector, num.param, ..., W, R, r)
+}
+\arguments{
+  \item{start}{Starting values for the parameters and
+  lagrangian}
+
+  \item{conditions.vector}{Vector of moment conditions}
+
+  \item{number}{of parameters of the distribution}
+
+  \item{...}{Parameters of the vector of moment conditions}
+
+  \item{W}{Weighting matrix}
+
+  \item{R}{Linear constraint matrix of coefficients}
+
+  \item{r}{Linear constraint constants}
+}
+\value{
+une liste contenant le résultat de l'optimisation
+}
+\description{
+Optimization with constraints for GMM methos
+}
+\author{
+François Pelletier
+}
+