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gmm (version 1.6-6)

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 (Hansen 1982; ), the iterated GMM and continuous updated estimator (Hansen, Eaton and Yaron 1996; ) and several methods that belong to the Generalized Empirical Likelihood family of estimators (Smith 1997; , Kitamura 1997; , Newey and Smith 2004; , and Anatolyev 2005 ).

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Version

Install

install.packages('gmm')

Monthly Downloads

7,774

Version

1.6-6

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

March 5th, 2021

Functions in gmm (1.6-6)

Extracts the empirical moment function

The characteristic function of a stable distribution

ATE with Generalized Empirical Likelihood estimation

Bread for sandwiches

Coefficients of GEL or GMM

Confidence intervals for GMM or GEL

Returns on selected stocks

Method to finalize the result of the momentEstim method

Wilhelm (2015) bandwidth selection

Compute the K statistics of Kleibergen

Marginal effects Summary

Fitted values of GEL and GMM

Extracting data from a formula

Generalized Empirical Likelihood estimation

Compute tests of specification

Method for object of class gmm or gel

Formula method for gel and gmm objects

Method for estimating models based on moment conditions

Generalized method of moment estimation

Method for setting the properties of a model

Lalonde subsample of the National Supported Work Demonstration Data (NSW)

Generalized method of moment estimation for system of equations

Implied Probabilities

Plot Diagnostics for gel and gmm objects

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

Variance-covariance matrix of GMM or GEL

Printing a gmm or gel object

Residuals of GEL or GMM

Kernel smoothing of a matrix of time series

Two stage least squares estimation