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).

Version: 1.5-0
Depends: R (≥ 2.10.0), sandwich
Imports: stats
Suggests: mvtnorm, car, stabledist, MASS, timeDate, timeSeries
Published: 2013-12-11
Author: Pierre Chausse
Maintainer: Pierre Chausse <pchausse at uwaterloo.ca>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: NA
Materials: NA
In views: Econometrics, Finance
CRAN checks: gmm results

Downloads:

Reference manual: gmm.pdf
Vignettes: Computing Generalized Empirical Likelihood and Generalized Method of Moments with R
Package source: gmm_1.5-0.tar.gz
Windows binaries: r-devel: gmm_1.5-0.zip, r-release: gmm_1.5-0.zip, r-oldrel: gmm_1.5-0.zip
OS X Snow Leopard binaries: r-release: gmm_1.5-0.tgz, r-oldrel: gmm_1.5-0.tgz
OS X Mavericks binaries: r-release: gmm_1.5-0.tgz
Old sources: gmm archive

Reverse dependencies:

Reverse depends: ivlewbel, tmvtnorm
Reverse enhances: stargazer, texreg