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: | 1.3-0 |
| Depends: | R (≥ 2.0.0) |
| Imports: | stats |
| Suggests: | mvtnorm, car, fBasics, MASS, timeDate, timeSeries |
| Published: | 2010-01-10 |
| Author: | Pierre Chausse |
| Maintainer: | Pierre Chausse <pierre.chausse at uqam.ca> |
| License: | GPL (≥ 2) |
| In views: | Econometrics, Finance |
| CRAN checks: | gmm results |
| Package source: | gmm_1.3-0.tar.gz |
| MacOS X binary: | gmm_1.3-0.tgz |
| Windows binary: | gmm_1.3-0.zip |
| Reference manual: | gmm.pdf |
| Vignettes: |
Computing Generalized Empirical Likelihood and Generalized Method of Moments with R |
| News/ChangeLog: | NEWS |
| Old sources: | gmm archive |