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 (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).

AuthorPierre Chausse <pchausse@uwaterloo.ca>
Date of publication2016-05-24 18:01:44
MaintainerPierre Chausse <pchausse@uwaterloo.ca>
LicenseGPL (>= 2)
Version1.6-1

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