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gmm (version 1.8)

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 (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

9,620

Version

1.8

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

June 6th, 2023

Functions in gmm (1.8)

Method for setting the properties of a model

Marginal effects Summary

Implied Probabilities

Fitted values of GEL and GMM

Formula method for gel and gmm objects

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

Generalized method of moment estimation

Generalized Empirical Likelihood estimation

Extracting data from a formula

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

Compute tests of specification

Method for estimating models based on moment conditions

Printing a gmm or gel object

Plot Diagnostics for gel and gmm objects

Residuals of GEL or GMM

Generalized method of moment estimation for system of equations

Two stage least squares estimation

Kernel smoothing of a matrix of time series

Method for object of class gmm or gel

Variance-covariance matrix of GMM or GEL

Confidence intervals for GMM or GEL

Coefficients of GEL or GMM

The characteristic function of a stable distribution

Returns on selected stocks

Bread for sandwiches

Wilhelm (2015) bandwidth selection

Extracts the empirical moment function

Compute the K statistics of Kleibergen

Method to finalize the result of the momentEstim method

ATE with Generalized Empirical Likelihood estimation