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>).

Version: 1.6-1
Depends: R (≥ 2.10.0), sandwich
Imports: stats, methods, grDevices, graphics
Suggests: mvtnorm, car, stabledist, MASS, timeDate, timeSeries
Published: 2017-06-14
Author: Pierre Chausse
Maintainer: Pierre Chausse <pchausse at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: gmm citation info
Materials: NEWS
In views: Econometrics, Finance
CRAN checks: gmm results


Reference manual: gmm.pdf
Vignettes: Computing Generalized Empirical Likelihood and Generalized Method of Moments with R
Package source: gmm_1.6-1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: gmm_1.6-1.tgz
OS X Mavericks binaries: r-oldrel: gmm_1.6-1.tgz
Old sources: gmm archive

Reverse dependencies:

Reverse depends: ivlewbel, tmvtnorm
Reverse imports: mev, REndo, sfadv
Reverse suggests: broom
Reverse enhances: stargazer, texreg


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