Name

gmmMsdJ — Jacobian for Mean/StdDev GMM estimation

CALLING SEQUENCE

[M,e] = gmmMsdJ(b,gmmopt,Y,X,Z)

PARAMETERS

Input

• b = parameter vector fed to function

• gmmopt = gmm options tlist

• Y = "dependent" variables

• X = "independent" variables

• Z = instruments (can be same as X)

Output

• M = Jacobian (k+k(k+1)/2 by k+k(k+1)/2) (k is cols(y)

• e = model errors (Nobs x Neq)

DESCRIPTION

Provides Jacobian and error term for Mean/StdDev GMM estimation

AUTHOR

Emmanuel Michaux 2007