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gmm (version 1.1-1)

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

1.1-1

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

September 7th, 2009

Functions in gmm (1.1-1)

Fitted values of GMM

The characteristic function of a stable distribution

Residuals of GMM

Printing a gmm object

Coefficients of GMM

Extracting data from a formula

Plot Diagnostics for a gmm Object

Covariance matrix of weakly dependent time series

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

Kernel smoothing of a matrix of time series

Generalized Empirical Likelihood estimation

Variance-covariance matrix of GMM

Variance-covariance matrix of GEL

Method for object of class gmm

print.summary.gmm

Printing the summary of gmm

Plot Diagnostics for a gel Object

print.summary.gel

Printing the summary of gel

Method for object of class gel

Formula method for gmm objects

Confidence intervals for gmm

Formula method for gel objects

Generalized method of moment estimation

Residuals of GEL

Returns on selected stocks

Coefficient of GEL

Printing a gel object

Fitted values of GEL

Confidence intervals for GEL

Objective function of Generalized Empirical Likelihood (GEL)

weightsAndrews2