gmmCcapmJ Generalized Method of Moments gmmDiagW

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gmmCcapmM

Moments condition for power utility CCAPM example

CALLING SEQUENCE

[m,e]=gmmCcapmM(b,gmmopt,Y,X,Z)

PARAMETERS

Input

• b = parameter vector fed to func

• gmmopt = gmm options tlist

• Y = "dependent" variables

• X = "independent" variables

• Z = instruments (can be same as X)

Output

• m = vector of moment conditions

• e = model errors (Nobs x Neq)

DESCRIPTION

Provides moment conditions and error term for GMM estimation of a power utility CCAPM.

AUTHOR

Emmanuel Michaux 2007
gmmCcapmJ Generalized Method of Moments gmmDiagW