18 lines
No EOL
513 B
R
18 lines
No EOL
513 B
R
# Estimated covariance matrix
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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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#' Estimated covariance matrix
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#' @param conditions.vector Vector of moment conditions
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#' @param n Sample size
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#' @param ... Parameters of the vector of moment conditions
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#' @return A square covariance matrix
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#'
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#' @author François Pelletier
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covariance.GMM <- function(conditions.vector,n,...)
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{
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t(conditions.vector(...)) %*% conditions.vector(...) / n
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} |