Matlab Handout # 5 Two step and iterative GMM Estimation
نویسنده
چکیده
First, you have to add the gmmtbx folder into Matlab’s path. Enter the command: >>addpath(’k:\gmmtbx’); Now, we need to construct the variables of interest, namely the dataset and the instruments. Both have already been saved in the gmmtbx folder and can be loaded into Matlab using the commands: >>x = load(’cbapmvwrdata.dat’); >>z = load(’cbapmvwrinstr.dat’); where x is the dataset 1, and z are the instruments 2. In addition there are two parameters of interest, [γ, δ], that are described by the following population moment condition:
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