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Ajout de la fonction de GMM itératif

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François Pelletier 2014-03-02 20:20:34 -05:00
parent 6ee762daea
commit 79246138f2
8 changed files with 101 additions and 20 deletions
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6
man/covariance.GMM.Rd
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@ -2,12 +2,14 @@
\alias{covariance.GMM}
\title{Estimated covariance matrix}
\usage{
covariance.GMM(conditions.vector, n, ...)
covariance.GMM(conditions.vector, param, sample...)
}
\arguments{
\item{conditions.vector}{Vector of moment conditions}
\item{n}{Sample size}
\item{param}{Vector of estimated parameters}
\item{sample}{Individual data sample}
\item{...}{Parameters of the vector of moment conditions}
}

34
man/iterative.GMM.Rd Normal file
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@ -0,0 +1,34 @@
\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
}

9
man/objective.GMM.Rd
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@ -2,15 +2,18 @@
\alias{objective.GMM}
\title{Objective function for the GMM method}
\usage{
objective.GMM(param.lagrangian, conditions.vector, num.param, ...,
objective.GMM(param.lagrangian, conditions.vector, sample, ...,
W = diag(length(conditions.vector)), R = 0, r = 0)
}
\arguments{
\item{param}{Vector of parameters to optimize}
\item{param.lagrangian}{Vector of parameters and
Lagrangian to optimize}
\item{conditions.vector}{Vector of moment conditions}
\item{...}{Parameters of the vector of moment conditions}
\item{sample}{Individual data sample}
\item{...}{Functions of the vector of moment conditions}
\item{W}{Weighting matrix}

6
man/optim.GMM.Rd
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@ -2,7 +2,7 @@
\alias{optim.GMM}
\title{Optimization with constraints for GMM methos}
\usage{
optim.GMM(start, conditions.vector, num.param, ..., W, R, r)
optim.GMM(start, conditions.vector, sample, ..., W, R, r)
}
\arguments{
\item{start}{Starting values for the parameters and
@ -10,9 +10,9 @@ optim.GMM(start, conditions.vector, num.param, ..., W, R, r)
\item{conditions.vector}{Vector of moment conditions}
\item{number}{of parameters of the distribution}
\item{sample}{Individual data sample}
\item{...}{Parameters of the vector of moment conditions}
\item{...}{Functions of the vector of moment conditions}
\item{W}{Weighting matrix}