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Grocer >> Generalized Method of Moments > gmmLsFunc

gmmLsFunc

GMM objective function

CALLING SEQUENCE

f = gmmLsFunc(b,gmmopt,Y,X,Z,W)

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)

• W = matrix of weights

Output

• f = function value evaluated at b

DESCRIPTION

Evaluates least squares function m(b)'*W*m(b) at b.

AUTHOR

Emmanuel Michaux 2007

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