Method for estimating models based on moment conditions

Share:

Description

It estimates a model which is caracterized by the method getModel (see details).

Usage

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
## S3 method for class 'baseGmm.twoStep'
momentEstim(object, ...)
## S3 method for class 'baseGmm.twoStep.formula'
momentEstim(object, ...)
## S3 method for class 'sysGmm.twoStep.formula'
momentEstim(object, ...)
## S3 method for class 'tsls.twoStep.formula'
momentEstim(object, ...)
## S3 method for class 'baseGmm.iterative.formula'
momentEstim(object, ...)
## S3 method for class 'baseGmm.iterative'
momentEstim(object, ...)
## S3 method for class 'baseGmm.cue.formula'
momentEstim(object, ...)
## S3 method for class 'baseGmm.cue'
momentEstim(object, ...)
## S3 method for class 'baseGmm.eval'
momentEstim(object, ...)
## S3 method for class 'baseGel.mod'
momentEstim(object, ...)
## S3 method for class 'baseGel.modFormula'
momentEstim(object, ...)
## S3 method for class 'baseGel.eval'
momentEstim(object, ...)

Arguments

object

An object created by the method getModel

...

Other arguments when momentEstim is applied to an other class object

Value

It returns an object of class determined by the argument "TypeGMM" of gmm. By default, it is of class baseGmm.res. It estimates the model and organize the results that will be finalized by the method FinRes. More methods can be created in order to use other GMM methods not yet included in the package.

References

Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50, 1029-1054,

Hansen, L.P. and Heaton, J. and Yaron, A.(1996), Finit-Sample Properties of Some Alternative GMM Estimators. Journal of Business and Economic Statistics, 14 262-280.