Andrews-Monahan HAC estimators
[band,uout,D,eflag] = gmmAndMon(gmmopt,e,M,Z)
gmmopt tlist from GMM estimation which revelant arguments are
* gmmopt('prt') = printing (0=none) [1]
* gmmopt('aminfo')= a list with fields:
- aminfo('p') = autoregressive lags (p<=1 for arma models) [1]
- aminfo('q') = moving average lags [0]
- aminfo('vardum')= 1 for VAR(p) (overrides q) [0]
- aminfo('nowhite') = 1 suppresses pre-whitening [0]
- aminfo('diagdum') =1 for diagnostic graphs [0]
e = matrix of residuals (we want its spectral density)
M = Jacobian (derivative of moments)
Z = instruments
band = bandwidth determined from the data
uout = matrix of whitened residuals
D = matrix to 're-color' spectral density of whitened resids
eflag = 1 if an error in estimating ARMA model, else 0