function?[banduoutDeflag]?=?andmon（gmmopteMZ）
%function?[banduoutDeflag]?=?andmon（gmmopteMZ）
%
%?ANDREWS-MONAHAN?HAC?ESTIMATOR
%
%?Calculate?objects?needed?by?gmmS?for?Andrews-Monahan?HAC?estimate.
%?Basic?idea?is?to?take?residuals?from?normal?estimation?then?fit?a
%?simple?time-series?model?such?as?ARMA（11）?AR（1）?or?MA（q）?then?use
%?these?‘whitened‘?residuals?to?calculate?the?Spectral?Density?matrix.
%?The?parameters?of?the?auxillary?time-series?model?are?used?to?‘recolor‘
%?the?Spectral?Density?matrix?of?the?whitened?residuals.
%
%?Another?key?feature?is?the?use?of?the?Quadratic-Spectral?kernel?with
%?‘automatic‘?bandwidth?selection.??This?procedure?still?requires?choosing
%?a?weighting?matrix?to?the?relative?importance?of?each?of?the?disturbance
%?vectors.??I?use?the?inverse?of?the?standard?deviation?of?the?residuals
%?as?weights?in?attempt?to?make?the?bandwidth?selection?scale-invariant.
%?This?effort?seems?to?be?partially?successful.
%
%?The?procedure?can?also?be?used?to?generate?the?automatic?bandwidth
%?but?without?the?pre-whitening.?This?is?the?Andrews?procedure?and?is
%?implemented?by?setting?gmmopt.aminfo.nowhite?=?1.
%
%?INPUTS:
%??gmmopt	structure?from?GMM?package.??Relevant?fields?are:
%????gmmopt.prt??????Printing?（0=none?1=screenelse?file）	[1]
%????gmmopt.aminfo???another?structure?with?fields:
%??????aminfo.p????????autoregressive?lag?（p<=1）		[1]
%??????aminfo.q????????moving?average?lags			[0]
%??????aminfo.vardum???1?for?VAR（1）?（overrides?p?and?q）		[0]
%??????aminfo.kernel???Weighting?scheme?for?lags		[‘QS‘]
%??????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?wrt?parmeters）
%??Z		Instruments
%
%?OUTPUTS:
%??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

%?WRITTEN?BY:??Mike?Cliff?Purdue?Finance??mcliff@mgmt.purdue.edu
%?VERSION?1.1??
%?CREATED:?11/6/99

%========================================================================
%???INITIALIZATIONS
%========================================================================

%?---?Set?Defaults?------------------------------------------------------
if?~isfield（gmmopt‘prt‘）??gmmopt.prt?=?1;?end
if?~isfield（gmmopt‘aminfo‘）??gmmopt.aminfo.p?=?1;?end
if?~isfield（gmmopt.aminfo‘kernel‘）?gmmopt.aminfo.kernel?=?‘QS‘;?end
if?~isfield（gmmopt.aminfo‘p‘）?gmmopt.aminfo.p?=?1;?end
if?~isfield（gmmopt.aminfo‘q‘）?gmmopt.aminfo.q?=?0;?end
if?~isfield（gmmopt.aminfo‘vardum‘）?gmmopt.aminfo.vardum?=?0;?end
if?~isfield（gmmopt.aminfo‘nowhite‘）?gmmopt.aminfo.nowhite?=?0;?end
if?~isfield（gmmopt.aminfo‘diagdum‘）?gmmopt.aminfo.diagdum?=?0;?end

eflag?=?0;
aminfo?=?gmmopt.aminfo;
p?=?aminfo.p;
q?=?aminfo.q;
vard

?屬性????????????大小?????日期????時間???名稱
-----------?---------??----------?-----??----

?????文件???????9530??2003-01-10?23:10??GMM?Libraries?for?Matlab\gmm\andmon.m

?????文件???????4976??2003-01-10?23:29??GMM?Libraries?for?Matlab\gmm\arma.m

?????文件????????647??2000-12-02?03:44??GMM?Libraries?for?Matlab\gmm\Contents.m

?????文件????????656??2003-01-10?23:10??GMM?Libraries?for?Matlab\gmm\diagw.m

?????文件??????13438??2004-12-27?22:28??GMM?Libraries?for?Matlab\gmm\gmm.m

?????文件??????11412??2002-01-09?03:06??GMM?Libraries?for?Matlab\gmm\gmmex\ckls.dat

?????文件???????6343??2003-05-02?10:57??GMM?Libraries?for?Matlab\gmm\gmmex\ckls_d.m

?????文件???????1222??2003-03-03?05:19??GMM?Libraries?for?Matlab\gmm\gmmex\ckls_dj.m

?????文件????????943??2003-03-03?05:19??GMM?Libraries?for?Matlab\gmm\gmmex\ckls_dm.m

?????文件??????17754??1999-09-29?01:10??GMM?Libraries?for?Matlab\gmm\gmmex\gmmdata.dat

?????文件??????17767??1999-09-29?01:10??GMM?Libraries?for?Matlab\gmm\gmmex\gmmdata.m

?????文件????????282??1999-09-29?01:10??GMM?Libraries?for?Matlab\gmm\gmmex\gmmexj.m

?????文件????????995??2000-07-08?00:33??GMM?Libraries?for?Matlab\gmm\gmmex\gmmexm.m

?????文件???????1289??2002-07-12?06:37??GMM?Libraries?for?Matlab\gmm\gmmex\gmmldv.dat

?????文件???????1198??2003-03-03?05:10??GMM?Libraries?for?Matlab\gmm\gmmex\gmmldv.mat

?????文件???????3345??2003-03-03?06:07??GMM?Libraries?for?Matlab\gmm\gmmex\gmmldv_d.m

?????文件???????3167??2003-02-19?22:32??GMM?Libraries?for?Matlab\gmm\gmmex\gmm_d.m

?????文件???????2886??2001-01-21?02:31??GMM?Libraries?for?Matlab\gmm\gmmex\hyptest_d.m

?????文件???????2008??2000-12-02?02:04??GMM?Libraries?for?Matlab\gmm\gmmex\lingmm_d.m

?????文件????????324??2002-07-12?22:01??GMM?Libraries?for?Matlab\gmm\gmmex\logitj.m

?????文件????????345??2002-07-12?22:00??GMM?Libraries?for?Matlab\gmm\gmmex\logitm.m

?????文件????????188??2002-07-12?03:00??GMM?Libraries?for?Matlab\gmm\gmmex\logitS.m

?????文件????????850??2000-07-13?05:48??GMM?Libraries?for?Matlab\gmm\gmmex\nlsq.dat

?????文件????????304??2000-07-22?02:42??GMM?Libraries?for?Matlab\gmm\gmmex\nlsqalt.m

?????文件????????392??1999-09-29?01:10??GMM?Libraries?for?Matlab\gmm\gmmex\nlsqdat.m

?????文件????????100??2000-07-22?04:09??GMM?Libraries?for?Matlab\gmm\gmmex\nlsqe.m

?????文件?????????94??2000-07-22?02:31??GMM?Libraries?for?Matlab\gmm\gmmex\nlsqj.m

?????文件???????3085??2000-10-05?03:01??GMM?Libraries?for?Matlab\gmm\gmmex\nlsq_d.m

?????文件????????353??2002-07-12?22:02??GMM?Libraries?for?Matlab\gmm\gmmex\probitj.m

?????文件????????272??2002-07-12?22:02??GMM?Libraries?for?Matlab\gmm\gmmex\probitm.m

............此處省略71個文件信息