gmm: Generalized Method of Moments and Generalized Empirical Likelihood

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It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (GMM) of Hansen(1982), the iterated GMM and continuous updated estimator (CUE) of Hansen-Eaton-Yaron(1996) and several methods that belong to the Generalized Empirical Likelihood (GEL) family of estimators, as presented by Smith(1997), Kitamura(1997), Newey-Smith(2004) and Anatolyev(2005).

Author
Pierre Chausse <pchausse@uwaterloo.ca>
Date of publication
2015-03-17 22:42:51
Maintainer
Pierre Chausse <pchausse@uwaterloo.ca>
License
GPL (>= 2)
Version
1.5-2

View on CRAN

Man pages

bread
Bread for sandwiches
charStable
The characteristic function of a stable distribution
coef
Coefficients of GEL or GMM
confint
Confidence intervals for GMM or GEL
estfun
Extracts the empirical moment function
Finance
Returns on selected stocks
FinRes
Method to finalize the result of the momentEstim method
fitted
Fitted values of GEL and GMM
formula
Formula method for gel and gmm objects
gel
Generalized Empirical Likelihood estimation
getDat
Extracting data from a formula
getLamb
Solving for the Lagrange multipliers of Generalized Empirical...
getModel
Method for setting the properties of a model
gmm
Generalized method of moment estimation
KTest
Compute the K statistics of Kleibergen
momentEstim
Method for estimating models based on moment conditions
plot
Plot Diagnostics for gel and gmm objects
print
Printing a gmm or gel object
residuals
Residuals of GEL or GMM
smoothG
Kernel smoothing of a matrix of time series
specTest
Compute tests of specification
summary
Method for object of class gmm or gel
tsls
Two stage least squares estimation
vcov
Variance-covariance matrix of GMM or GEL

Files in this package

gmm
gmm/inst
gmm/inst/CITATION
gmm/inst/doc
gmm/inst/doc/gmm_with_R.rnw
gmm/inst/doc/gmm_with_R.pdf
gmm/inst/doc/gmm_with_R.R
gmm/NAMESPACE
gmm/NEWS
gmm/data
gmm/data/Finance.rda
gmm/R
gmm/R/Methods.gmm.R
gmm/R/gmm.R
gmm/R/PlotMethods.R
gmm/R/gmmTests.R
gmm/R/momentEstim.R
gmm/R/Methods.gel.R
gmm/R/charStable.R
gmm/R/getModel.R
gmm/R/specTest.R
gmm/R/FinRes.R
gmm/R/gel.R
gmm/vignettes
gmm/vignettes/gmm_with_R.rnw
gmm/vignettes/empir.bib
gmm/MD5
gmm/build
gmm/build/vignette.rds
gmm/DESCRIPTION
gmm/man
gmm/man/Finance.Rd
gmm/man/specTest.Rd
gmm/man/momentEstim.Rd
gmm/man/gmm.Rd
gmm/man/residuals.Rd
gmm/man/formula.Rd
gmm/man/FinRes.Rd
gmm/man/estfun.Rd
gmm/man/charStable.Rd
gmm/man/getModel.Rd
gmm/man/confint.Rd
gmm/man/bread.Rd
gmm/man/getLamb.Rd
gmm/man/vcov.Rd
gmm/man/KTest.Rd
gmm/man/getDat.Rd
gmm/man/fitted.Rd
gmm/man/print.Rd
gmm/man/plot.Rd
gmm/man/tsls.Rd
gmm/man/smoothG.Rd
gmm/man/coef.Rd
gmm/man/summary.Rd
gmm/man/gel.Rd