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gmmS

Spectral density matrix in GMM

CALLING SEQUENCE

[S,eflag,gmmopt] = gmmS(b,gmmopt,Y,X,Z)

PARAMETERS

Input

* b = parameter values

* gmmopt = options tlist from GMM which revelant arguments are [default]

  - gmmopt('W') = set to 'S' to use gmmS for inverse spectral density as GMM weighting matrix

  - gmmopt('W0') =  initial weighting matrix ['Z']:

     . 'Z' =     inv(I kron Z'Z)

     . 'I' =     identity

     . 'C' =     calculated from parms in b

     . 'U' = user-defined (pass to gmm as Win)

  -gmmopt('S')  Type of spectral density matrix:

     .  'I' = identity

     .  'P' = plain (like OLS,  e'e.*.Z'Z)

     .  'W' = White (hetero-consistent)

     .  'H' =     Hansen (truncated, wts = 1 or 0)

     .  'NW' = Newey-West (Bartlett weights)

     .  'G' = Gallant (Parzen weights)

     .  'AM' = Andews or Andrews-Monahan (see randmon.sci)

  - gmmopt('lags') = lags in H, NW, or G kernels

  - gmmopt('wtvec') = user-defined weights for Hansen matrix, allows for seasonals, etc. (eg. wtvec = [1 0 1])

  - gmmopt('Strim') = Controls demeaning of moments in calculating S [1]

     .  0 = none

     .  1 = demean model errors e

     .  2 = demean moments, Z'e

* Y = endogenous data

* X = exogenous variable

* Z = instruments

 

Output

* S = the spectral density matrix of the GMM moments

* eflag = 1 if matrix is negative definite

* gmmopt = gmm option tlist

DESCRIPTION

Calculates the spectral density matrix S in GMM

EXAMPLE

S = gmmS(b,gmmopt,Y,X,Z);;
// Example taken from gmm1:

AUTHOR

Emmanuel Michaux 2007

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