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gmm (version 1.3-0)

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

9,095

Version

1.3-0

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

January 10th, 2010

Functions in gmm (1.3-0)

plot

Plot Diagnostics for gel and gmm objects
formula

Formula method for gel and gmm objects
summary

Method for object of class gmm or gel
getLamb

Solving for the Lagrange multipliers of Generalized Empirical Likelihood (GEL)
kweights2

Kernel Weights
gel

Generalized Empirical Likelihood estimation
charStable

The characteristic function of a stable distribution
coef

Coefficients of GEL or GMM
confint

Confidence intervals for GMM or GEL
specTest

Compute tests of specification
getModel

Method for setting the properties of a model
vcov

Variance-covariance matrix of GMM or GEL
HAC

Covariance matrix of weakly dependent time series
print

Printing a gmm or gel object
gmm

Generalized method of moment estimation
Finance

Returns on selected stocks
residuals

Residuals of GEL or GMM
FinRes

Method to finalize the result of the momentEstim method
rho

Objective function of Generalized Empirical Likelihood (GEL)
smoothG

Kernel smoothing of a matrix of time series
fitted

Fitted values of GEL and GMM
weightsAndrews2

Kernel weights
getDat

Extracting data from a formula
momentEstim

Method for estimating models based on moment conditions