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gmm (version 1.0-7)

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 (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).

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Version

Install

install.packages('gmm')

Monthly Downloads

9,095

Version

1.0-7

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

July 2nd, 2009

Functions in gmm (1.0-7)

get_lamb

Solving for the Lagrange multipliers of Generalized Empirical Likelihood (GEL)
smooth_g

Kernel smoothing of a matrix of time series
kweights2

Kernel Weights
lintest

Test of linear restrictions for "gmm" class objects
get_dat

Extracting data from a formula
gmm

Generalized method of moment estimation
Finance

Returns on selected stocks
HAC

Covariance matrix of weakly dependent time series
summary.gel

Method for object of class gel
rho

Objective function of Generalized Empirical Likelihood (GEL)
gel

Generalized Empirical Likelihood estimation
summary.gmm

Method for object of class gmm
weightsAndrews2

Kernel weights