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>).

Getting started

Package details

AuthorPierre Chausse <pchausse@uwaterloo.ca>
MaintainerPierre Chausse <pchausse@uwaterloo.ca>
LicenseGPL (>= 2)
Version1.8
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("gmm")

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gmm documentation built on June 7, 2023, 6:05 p.m.