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gmm (version 1.9-1)

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 (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

11,846

Version

1.9-1

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

August 26th, 2025

Functions in gmm (1.9-1)

Extracting data from a formula

Marginal effects Summary

Generalized method of moment estimation

Formula method for gel and gmm objects

Fitted values of GEL and GMM

Implied Probabilities

Method for setting the properties of a model

Generalized Empirical Likelihood estimation

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

Plot Diagnostics for gel and gmm objects

Two stage least squares estimation

Compute tests of specification

Kernel smoothing of a matrix of time series

Generalized method of moment estimation for system of equations

Method for object of class gmm or gel

Residuals of GEL or GMM

Method for estimating models based on moment conditions

Printing a gmm or gel object

Variance-covariance matrix of GMM or GEL

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

Coefficients of GEL or GMM

The characteristic function of a stable distribution

Bread for sandwiches

Returns on selected stocks

Confidence intervals for GMM or GEL

Wilhelm (2015) bandwidth selection

Compute the K statistics of Kleibergen

Method to finalize the result of the momentEstim method

Extracts the empirical moment function

ATE with Generalized Empirical Likelihood estimation