Add interface for SMM/GMM
-
Add commands
gmm_estimation
andsmm_estimation
modelled likeprior_function/posterior_function
-commands. Syntax should be a. Commandgmm_estimation(options_list) var_list_
translating to[M_,oo_,estim_params_,bayestopt_,dataset_,dataset_info]=GMM_SMM_estimation_core(var_list_,M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info,'GMM');
wherevar_list_
is the list of variables provided. The commandsmm_estimation(options_list)
should lead to the same output, but with the last string being'SMM'
-
The options_list should share the following options with
estimation
datafile
silent_optimizer
dirname
xls_sheet
xls_range
nobs
first_obs
loglinear
logdata
nograph
graph_format
mode_file
huge_number
optim
tex
solve_algo
aim_solver
irf
irf_shocks
irf_plot_threshold
qz_zero_threshold
- GMM/SMM common options written to different subfields of
options_.smm
oroptions_.gmm
(depending on the respective command)
-
order
translating tooptions_.gmm.order
-
centered_moments
translating tooptions_.gmm.centeredmoments
-
verbose
translating tooptions_.gmm.verbose
-
autolag
translating tooptions_.gmm.autolag
-
recursive_order_estimation
translating tooptions_.gmm.recursive_estimation
-
mode_compute
translating tooptions_.gmm.mode_compute
-
newey_west_bandwith
translating tooptions_.gmm.qLag
-
optimal_weighting_matrix
translating tooptions_.gmm.optimal_weighting
-
use_prior
translating tooptions_.gmm.use_prior
- Additional options for
smm_estimation
only, written tooptions_.smm
:
-
simulation_multiple
translating tooptions_.smm.simulation_multiple
-
smm_drop
translating tooptions_.smm.drop
-
seed
translating tooptions_.smm.seed
-
bounded_support
translating tooptions_.smm.bounded_support
- New options to
estimation
,stoch_simul
, andgmm_estimation
/smm_estimation
-
analytical_GIRF
translating tooptions_.irf_opt.generalized_irf
-
IRF_in_percent
translating tooptions_.irf_opt.percent
-
EMAS_GIRF
translating tooptions_.irf_opt.ergodic_mean_irf
-
EMAS_drop
translating tooptions_.irf_opt.EM.drop
-
EMAS_tolf_
translating tooptions_.irf_opt.EM.tolf
-
EMAS_max_iter
translating tooptions_.irf_opt.EM.iter