gmm v1.6-2


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Generalized Method of Moments and Generalized Empirical Likelihood

It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (Hansen 1982; <doi:10.2307/1912775>), the iterated GMM and continuous updated estimator (Hansen, Eaton and Yaron 1996; <doi:10.2307/1392442>) and several methods that belong to the Generalized Empirical Likelihood family of estimators (Smith 1997; <doi:10.1111/j.0013-0133.1997.174.x>, Kitamura 1997; <doi:10.1214/aos/1069362388>, Newey and Smith 2004; <doi:10.1111/j.1468-0262.2004.00482.x>, and Anatolyev 2005 <doi:10.1111/j.1468-0262.2005.00601.x>).

Functions in gmm

Name Description
estfun Extracts the empirical moment function
momentEstim Method for estimating models based on moment conditions
smoothG Kernel smoothing of a matrix of time series
specTest Compute tests of specification
getModel Method for setting the properties of a model
charStable The characteristic function of a stable distribution
nsw Lalonde subsample of the National Supported Work Demonstration Data (NSW)
coef Coefficients of GEL or GMM
Finance Returns on selected stocks
plot Plot Diagnostics for gel and gmm objects
bread Bread for sandwiches
bwWilhelm Wilhelm (2015) bandwidth selection
fitted Fitted values of GEL and GMM
formula Formula method for gel and gmm objects
print Printing a gmm or gel object
sysGmm Generalized method of moment estimation for system of equations
gmm Generalized method of moment estimation
Growth Growth Data
summary Method for object of class gmm or gel
gel Generalized Empirical Likelihood estimation
KTest Compute the K statistics of Kleibergen
getDat Extracting data from a formula
residuals Residuals of GEL or GMM
tsls Two stage least squares estimation
wage Labor Data
vcov Variance-covariance matrix of GMM or GEL
confint Confidence intervals for GMM or GEL
ATEgel ATE with Generalized Empirical Likelihood estimation
FinRes Method to finalize the result of the momentEstim method
getLamb Solving for the Lagrange multipliers of Generalized Empirical Likelihood (GEL)
marginal Marginal effects Summary
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Last month downloads


Date 2017-09-26
License GPL (>= 2)
Repository CRAN
Repository/R-Forge/Project gmm
Repository/R-Forge/Revision 119
Repository/R-Forge/DateTimeStamp 2018-03-12 14:25:26
Date/Publication 2018-03-15 22:51:20 UTC
NeedsCompilation no
Packaged 2018-03-12 14:47:02 UTC; rforge

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