Matlab Emacs Lisp
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MatELike (version 0.1.4) John Zedlewski (email@example.com) DESCRIPTION: MatELike is a Matlab package to estimate Empirical Likelihood (EL) models by direct maximization. It includes tools to formulate problems easily and use automatic differentiation to efficiently estimate models with nonlinear moment conditions. It can use the robust optimization code Ipopt (which must be installed separately) or the included ZIPsolver interior-point optimization method to solve the very large maximization problems that arise in EL. INSTALLATION: To install MatELike, unzip the matelike archive and place the resulting melroot directory wherever you like to store your Matlab code. Add the subdirectory "melroot/matelike" to your Matlab path with a command like: addpath c:/matlab/melroot/matelike where c:/matlab is replaced with the base directory in which matelike is stored. Edit the file matelike/elLoad.m so that the variable BASEPATH points to the directory where MatELike is installed. Now the package is installed, but you must load it into Matlab's memory in each session before you can use it. Load the package with the command: elLoad you should see some output and then "Loaded matElike verson 0.1.4 package successfully". To avoid repeating these steps every time you run Matlab, you can add those commands to your 'startup.m' file (search the Matlab help docs for startup.m for information on how to do this). Usage: More documentation coming soon! Individual functions have usage documentation, so look at the source or type 'help elSetup' and 'help elSolve' in Matlab to view the docs. For now, look at 'simpleDemoEL.m' (under 'matelike/demos') to see a trivial usage. (Currently, simpleDemo makes little sense as a model, but it illustrates the code usage.) testDP.m is a more complicated dynamic panel data model, based on Imbens 2002 JBES. The only real steps are: - write a function that computes the moment conditions for each observation - call 'elike = elSetup(...)', specifying the number of observations, etc. - call 'res = elSolve(elike, ...)' to solve the model For linear two-stage-least-squares models, the 'elLinearIV' function is much more efficient than using 'elSolve' directly. To use 'elLinearIV' you can skip the 'elSetup' step: just put your instruments (Z) and structural variables (X) in to matrices and pass them into 'elLinearIV'. The moment condition is that 'y - X*theta' is orthogonal to 'Z'. REQUIREMENTS: Tested on Matlab 7.4 and 7.6. For large models, a 64-bit platform is very helpful. The Ipopt code is tested with Ipopt 3.3.4 with the Matlab mex bridge. LICENSE: MatELike includes Intlab, which is copyright by Siegfried Rump @ TUHH. That package's license states that: "INTLAB is free for private use and for purely academic purposes provided proper reference is given acknowledging that the software package INTLAB has been developed by Siegfried M. Rump at Hamburg University of Technology, Germany. For any other use of INTLAB a license is required." (See also: http://www.ti3.tu-harburg.de/rump/intlab/) All other components are copyright 2008 by John Zedlewski and are distributed under the same license: Free use for academic and/or personal purposes is permitted as long as this authorship is acknowledged.