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gmmAndMon

Andrews-Monahan HAC estimators

CALLING SEQUENCE

[band,uout,D,eflag] = gmmAndMon(gmmopt,e,M,Z)

PARAMETERS

Input

* 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

 

Output

* 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

DESCRIPTION

Calculates objects needed by gmmS for Andrews-Monahan HAC estimate.

EXAMPLE

[band,u,D,amerr] = gmmAndMon(gmmopt,e,M,Z);
//Example taken from gmmS:

AUTHOR

Emmanuel Michaux 2007

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