比如说我用线性gmm 估计capm模型的参数。 （主要是练习gmm.m函数）

load emret.txt
load factor1.txt
a=10; %10 groups
b=size(emret,1);
c=b/10;% years
ret1=emret(:,3);

emret1=(reshape(ret1,a,c))';

ret=emret1;

T=size(ret,1);
N=size(ret,2);% 10 group
rmrf=factor1(:,4);% rm-rf
rf=factor1(:,2); % rf

y=ret-rf*ones(1,N);
x=[ones(T,1) rmrf];
% regress: r-rf=a+b*rmrf
para0=[0;1];
z=[y x];
number=100;
for i=1:N;
[paraest,t_sta]=gmmestimation('linearmodel01',para0,y,x,z,number,1);
paraest;
t_sta;
V;
a(i)=paraest(1);

b(i)=paraest(2);

ta(i)=t_sta(1);
tb(i)=t_sta(2);
r2(i)=results.rsqr(1);

e(:,i)=y(:,i)-b(i)*rmrf;

y2(:,i)=ret(:,i)-e(:,i);
a,
b,
ta,
tb,
end