gmm: Generalized Method of Moments and Generalized Empirical
Likelihood
It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (Hansen 1982; <doi:10.2307/1912775>), the iterated GMM and continuous updated estimator (Hansen, Eaton and Yaron 1996; <doi:10.2307/1392442>) and several methods that belong to the Generalized Empirical Likelihood family of estimators (Smith 1997; <doi:10.1111/j.0013-0133.1997.174.x>, Kitamura 1997; <doi:10.1214/aos/1069362388>, Newey and Smith 2004; <doi:10.1111/j.1468-0262.2004.00482.x>, and Anatolyev 2005 <doi:10.1111/j.1468-0262.2005.00601.x>).
| Version: |
1.8 |
| Depends: |
R (≥ 2.10.0), sandwich |
| Imports: |
stats, methods, grDevices, graphics |
| Suggests: |
knitr, mvtnorm, car, stabledist, MASS, timeDate, timeSeries |
| Published: |
2023-06-06 |
| DOI: |
10.32614/CRAN.package.gmm |
| Author: |
Pierre Chausse |
| Maintainer: |
Pierre Chausse <pchausse at uwaterloo.ca> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| Citation: |
gmm citation info |
| Materials: |
NEWS |
| In views: |
Econometrics, Finance |
| CRAN checks: |
gmm results |
Documentation:
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Reverse dependencies:
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