Name

gmmLinJ — Jacobian of moment conditions for linear GMM estimation

CALLING SEQUENCE

[M,e] = gmmLinJ(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 (rows(m) x k)

DESCRIPTION

Provides Jacobian of moment conditions for linear GMM estimation.

AUTHOR

Emmanuel Michaux 2007