gmm (version 1.8)

Generalized Method of Moments and Generalized Empirical Likelihood

Description

It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (Hansen 1982; ), the iterated GMM and continuous updated estimator (Hansen, Eaton and Yaron 1996; ) and several methods that belong to the Generalized Empirical Likelihood family of estimators (Smith 1997; , Kitamura 1997; , Newey and Smith 2004; , and Anatolyev 2005 ).

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Install

install.packages('gmm')

Monthly Downloads

7,127

Version

1.8

License

GPL (>= 2)

Maintainer

Last Published

June 6th, 2023

Functions in gmm (1.8)