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gmm (version 1.5-1)

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

13,820

Version

1.5-1

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

February 9th, 2015

Functions in gmm (1.5-1)

Formula method for gel and gmm objects

Residuals of GEL or GMM

Variance-covariance matrix of GMM or GEL

Compute tests of specification

Method for estimating models based on moment conditions

Confidence intervals for GMM or GEL

Method for object of class gmm or gel

Bread for sandwiches

The characteristic function of a stable distribution

Generalized method of moment estimation

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

Generalized Empirical Likelihood estimation

Method for setting the properties of a model

Two stage least squares estimation

Extracting data from a formula

Compute the K statistics of Kleibergen

Returns on selected stocks

Coefficients of GEL or GMM

Kernel smoothing of a matrix of time series

Method to finalize the result of the momentEstim method

Extracts the empirical moment function

Fitted values of GEL and GMM

Plot Diagnostics for gel and gmm objects

Printing a gmm or gel object