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gmm (version 1.3-2)

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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Install

install.packages('gmm')

Monthly Downloads

7,127

Version

1.3-2

License

GPL (>= 2)

Maintainer

Last Published

May 25th, 2010

Functions in gmm (1.3-2)