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gmm (version 1.1-0)

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

29,993

Version

1.1-0

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

August 27th, 2009

Functions in gmm (1.1-0)

Covariance matrix of weakly dependent time series

Extracting data from a formula

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

Printing a gel object

Returns on selected stocks

print.summary.gmm

Printing the summary of gmm

Formula method for gel objects

Fitted values of GMM

Residuals of GEL

Formula method for gmm objects

Plot Diagnostics for a gel Object

Plot Diagnostics for a gmm Object

Method for object of class gmm

Printing a gmm object

Fitted values of GEL

Coefficients of GMM

Variance-covariance matrix of GEL

weightsAndrews2

The characteristic function of a stable distribution

Method for object of class gel

Variance-covariance matrix of GMM

print.summary.gel

Printing the summary of gel

Kernel smoothing of a matrix of time series

Confidence intervals for gmm

Residuals of GMM

Generalized Empirical Likelihood estimation

Generalized method of moment estimation

Objective function of Generalized Empirical Likelihood (GEL)

Coefficient of GEL

Confidence intervals for GEL