function?[paraestt_staVitChi_staPvalue]=my_gmmestimation（momentpara0YXZnumberK）

%This?program?is?for?GMM?estimation

%input:

%moment:?moment?conditions?function?defined?by?users

%para0:initial?value?for?estimated?parameters

%YX:data?used?to?estimate?parameters

%Z:?data?for?instrument?variables

%number:?maximum?convergence?number?when?choosing?optimal?weighting?matrix

%K:number?of?moment?conditions

%output:??

%paraest:parameters?estimated

%t_sta:?T?statistics?for?each?estimated?parameter

%V:covariance?matrix?for?estimated?parameters

%it:?number?of?iteration

%Chi_sta?and?Pvalue:?overidentifying?test?null?hypothesis?is?moment

%conditions?are?feasible

?


%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%example1

%to?estimate?the?following?model:Y=alpha+beta*X+eta

%moment?conditions:[E（eta）;E（X*eta）]=0

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

%clear

%kk=1000;

%X=randn（kk1）;Y=1+2*X+randn（kk1）/3;Z=[ones（kk1）X];number=100;

%para0=[0;1];

%[paraestt_staV]=gmmestimation（‘linearmodel01‘para0YXZnumber2）

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%moment?conditions

%function?f=linearmodel01（paranumYXZW）

%[Tq]=size（Y）;

%alpha=para（1）;beta=para（2）;

%eta=[Y-（alpha+beta*X）];

%for?i=1:T

???%?m_t（i:）=kron（eta（i:）Z（i:））;

????%end

%m=mean（m_t）‘;

%obj=m‘*W*m;

%if?num==1

????%f=obj;

????%elseif?num==2

????%f=m_t;

????%elseif?num==3

????%f=m;

????%end

%%%%%%%%%%%%%%%%%%%%%%%%%%%

%example2

%to?estimate?the?following?model:

%dr_t?=（alpha+beta*r_t）*dt+sigma*r_t^（gamma）*dW_t

%where?W_t?is?a?Brownian?motion

%r_t?is?interest?rate?at?time?t?and?dr_t=r_t-r_t-1=y_t

%x_t=r_t-1dW_t=sqrt（dt）*eta_t

%eta_t?is?a?standard?normal?random?variabledefine?y=[y_t]x=[x_t]?xy?are?colummn?vectors

%rewrite?the?model:?y=（alpha+beta*x）*dt+sigma*x^（gamma）*dW

%instrument?variables:z=[1x]

%moment?conditions;

%kron（[E（y-（alpha+beta*x）*dt）;

%E（y-（（alpha+beta*x）*dt）^2-sigma^2*x^（2*gamma）*dt）]z）=0

%kron（AB）?means?Kroneker?product?of?A?and?B

%%%%%%%%%%%%%%%moment?function

%?function?f=cklstest01（paranumYXZW）

%?[Tq]=size（Y）;

%?alpha=para（1）;beta=para（2）;sigsq=para（3）;gamma=para（4）;

%?eta=[Y-（alpha+beta*X）/12（Y-（alpha+beta*X）/12）.^2-sigsq*X.^（2*gamma）/12];

%?for?i=1:T

%????