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