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