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fmincon gmm function - how to define moment condition

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NS
NS 2018 年 10 月 10 日
編集済み: NS 2018 年 10 月 10 日
I have 3 price series and three moment condtions from which i need to estimate sigma2, alpha,psi and omega using GMM. I have calculated Gamma matrices G0,G1,G2. Kindly help me in using fmincon gmm function?
MOMENT CONDITIONS ARE -
1. To calculate sigmasq , the moment condition is GLR= G0+G1+G1'+G2+G2'= sigmasq*1*1'
2. To calculate alpha , the moment condition is DG=G1'-G1+2(G2'-G2) = sigmasq(alpha*1'-1*alpha') this identifies alpha upto a translation along unit vector.
3. After calculating sigmasq and alpha, omega is calculated by G1'+G1+2(G2'+G2) = -sigmasq(alpha*1'-1*alpha'+2*alpha*alpha')-omega-G2*omega^-1*G2'
4. For psi , the moment condition is G2= -psi*omega
Kindly help me to formulate moment function for these three to calculate parameters using gmm.

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