19 lines
642 B
R
19 lines
642 B
R
# Covariance matrix of the parameters using delta method
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#
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# Author: Francois Pelletier
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#
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# LGPL-3.0
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###############################################################################
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#' Covariance matrix of the parameters using delta method
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#' @param covariance Covariance matrix of the moment conditions
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#' @param gradient Gradient matrix of the moment conditions
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#' @param size Sample size
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#' @return The covariance matrix of the parameters
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#' @export delta.method.covariance.GMM
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#' @author François Pelletier
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delta.method.covariance.GMM <- function(covariance,gradient,size)
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{
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ginv(gradient %*% ginv(covariance) %*% t(gradient))/size
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}
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