Description Usage Arguments Details Value References

The algorithms finds the vector or Lagrange multipliers that maximizes
the GEL objective function for a given vector of coefficient *θ*.

1 2 3 4 5 6 7 8 9 10 11 | ```
Wu_lam(gmat, tol=1e-8, maxiter=50, k=1)
EEL_lam(gmat, k=1)
REEL_lam(gmat, tol=NULL, maxiter=50, k=1)
ETXX_lam(gmat, lambda0, k, gelType, algo, method, control)
getLambda(gmat, lambda0=NULL, gelType=NULL, rhoFct=NULL,
tol = 1e-07, maxiter = 100, k = 1, method="BFGS",
algo = c("nlminb", "optim", "Wu"), control = list())
``` |

`gmat` |
The |

`lambda0` |
The |

`tol` |
A tolerance level for the stopping rule in the Wu algorithm |

`maxiter` |
The maximum number of iteration in the Wu algorithm |

`gelType` |
A character string specifying the type of GEL. The
available types are |

`rhoFct` |
An optional function that return |

`k` |
A numeric scaling factor that is required when |

`method` |
This is the method for |

`algo` |
Which algorithm should be used to maximize the GEL objective
function. If set to |

`control` |
A list of control to pass to either |

The `ETXX_lam`

is used for ETEL and ETHD. In general, it
computes lambda using ET, and returns the value of the objective
function determined by the `gelType`

.

It returns the vector *ρ(gmat λ)* when `derive=0`

,
*ρ'(gmat λ)* when `derive=1`

and *ρ''(gmat
λ)* when `derive=2`

.

Anatolyev, S. (2005), GMM, GEL, Serial Correlation, and Asymptotic Bias. *Econometrica*, **73**, 983-1002.

Kitamura, Yuichi (1997), Empirical Likelihood Methods With Weakly Dependent Processes.
*The Annals of Statistics*, **25**, 2084-2102.

Kitamura, Y. and Otsu, T. and Evdokimov, K. (2013), Robustness,
Infinitesimal Neighborhoods and Moment Restrictions.
*Econometrica*, **81**, 1185-1201.

Newey, W.K. and Smith, R.J. (2004), Higher Order Properties of GMM and
Generalized Empirical Likelihood Estimators. *Econometrica*, **72**, 219-255.

Smith, R.J. (2011), GEL Criteria for Moment Condition Models.
*Econometric Theory*, **27**(6), 1192–1235.

Wu, C. (2005), Algorithms and R codes for the pseudo empirical
likelihood method in survey sampling.
*Survey Methodology*, **31**(2), page 239.

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