[R-SIG-Finance] Fwd: Inequality constraints in GMM estimation?

[Liviu Andronic]

This e-mail was probably intended to be on-list.
Liviu


---------- Forwarded message ----------
From: Eric Zivot <ezivot at u.washington.edu>
Date: Sat, Jul 18, 2009 at 8:08 PM
Subject: Re: [R-SIG-Finance] Inequality constraints in GMM estimation?
To: Liviu Andronic <landronimirc at gmail.com>


Not sure your inequality constraint makes sense. Do you want theta > 0
or m(theta) > 0

Usually, inequality constraints are put on parameters. If you want to
constrain theta > 0 then just re-parameterize theta as theta =
exp(gamma) and optimize over gamma. You will need to use delta method
to get the correct std errors for theta.hat = exp(gamma.hat).

****************************************************************
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On Sat, 18 Jul 2009, Liviu Andronic wrote:

> Hello,
>
> On Sat, Jul 18, 2009 at 4:58 AM, David J. Moore, Ph.D.<djmphd at gmail.com> wrote:
>>
>> I have a relatively simple finance application of GMM. Given the moment
>> condition:
>> E[m*R]=0
>>
>> where m=m[theta]
>>
>> I would like to constrain m>0. Any ideas?
>>
> Check library(gmm).
> Liviu
>
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