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gmm (version 1.3-8)

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

1.3-8

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

July 28th, 2011

Functions in gmm (1.3-8)

Method for setting the properties of a model

Returns on selected stocks

Objective function of Generalized Empirical Likelihood (GEL)

Compute tests of specification

Generalized Empirical Likelihood estimation

Method to finalize the result of the momentEstim method

Formula method for gel and gmm objects

Fitted values of GEL and GMM

Plot Diagnostics for gel and gmm objects

Kernel smoothing of a matrix of time series

Variance-covariance matrix of GMM or GEL

Bread for sandwiches

Method for object of class gmm or gel

Residuals of GEL or GMM

Printing a gmm or gel object

Confidence intervals for GMM or GEL

The characteristic function of a stable distribution

Extracting data from a formula

Generalized method of moment estimation

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

Extracts the empirical moment function

Method for estimating models based on moment conditions

Coefficients of GEL or GMM