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gmm (version 1.4-3)

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

13,820

Version

1.4-3

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

September 23rd, 2012

Functions in gmm (1.4-3)

Method to finalize the result of the momentEstim method

Returns on selected stocks

Bread for sandwiches

The characteristic function of a stable distribution

Confidence intervals for GMM or GEL

Coefficients of GEL or GMM

Compute the K statistics of Kleibergen

Residuals of GEL or GMM

Generalized method of moment estimation

Generalized Empirical Likelihood estimation

Kernel smoothing of a matrix of time series

Method for object of class gmm or gel

Plot Diagnostics for gel and gmm objects

Method for setting the properties of a model

Two stage least squares estimation

Formula method for gel and gmm objects

Variance-covariance matrix of GMM or GEL

Extracts the empirical moment function

Fitted values of GEL and GMM

Extracting data from a formula

Printing a gmm or gel object

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

Method for estimating models based on moment conditions

Compute tests of specification