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momentfit (version 1.0)

Methods of Moments

Description

Several classes for moment-based models are defined. The classes are defined for moment conditions derived from a single equation or a system of equations. The conditions can also be expressed as functions or formulas. Several methods are also offered to facilitate the development of different estimation techniques. The methods that are currently provided are the Generalized method of moments (Hansen 1982; ), for single equations and systems of equation, and the Generalized Empirical Likelihood (Smith 1997; , Kitamura 1997; , Newey and Smith 2004; , and Anatolyev 2005 ). Some work is being done to add tools to deal with weak and/or many instruments. This includes K-Class estimators (Limited Information Maximum Likelihood and Fuller), Anderson and Rubin statistic test, etc.

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Version

Install

install.packages('momentfit')

Monthly Downloads

351

Version

1.0

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

August 26th, 2025

Functions in momentfit (1.0)

Consumption data from Greene (2012) applications.

~~ Methods for Function DWH in Package momentfit ~~

Labour data on married women

Cigarette Consumption Panel Data

Dresiduals-methods

~~ Methods for Function Dresiduals in Package Gmm ~~

Labour data from Greene (2012) applications,

Return to Education Data

~~ Methods for Function bread in Package sandwich ~~

Constructor for minAlgo classes

allNLModel-class

Class "allNLModel"

~~ Methods for Function coef in Package stats ~~

evalDMoment-methods

~~ Methods for Function evalDMoment in Package momentfit ~~

evalGel-methods

~~ Methods for Function evalGel in Package modelfit ~~

Class "confint"

confint-methods

~~ Methods for Function confint in Package stats ~~

ThreeSLS-methods

~~ Methods for Function ThreeSLS in Package momentfit ~~

~~ Methods for Function estfun in Package sandwich ~~

functionModel-class

Class "functionModel"

evalGmmObj-methods

~~ Methods for Function evalGmmObj in Package momentfit ~~

evalGmm-methods

~~ Methods for Function evalGmm in Package modelfit ~~

evalWeights-methods

Methods for Function evalWeights in Package Gmm

evalGelObj-methods

~~ Methods for Function evalGelObj in Package Gmm ~~

evalMoment-methods

~~ Methods for Function evalMoment in Package momentfit ~~

formulaModel-class

Class "formulaModel"

Class "gelfit"

~~ Methods for Function gelFit in Package momentfit ~~

getImpProb-methods

~~ Methods for Function getImpProb in Package momenfit ~~

kernapply-methods

A kernel smoothing utility for "momentModel" classes

getRestrict-methods

~~ Methods for Function getRestrict in Package momentfit ~~

~~ Methods for Function gmmFit in Package momentfit ~~

K-Class Estimation Method

Class "gmmfit"

hypothesisTest-class

Class "hypothesisTest"

kclassfit-class

Class "kclassfit"

hypothesisTest-methods

~~ Methods for Function hypothesisTest in Package momentfit ~~

meatGmm-methods

~~ Methods for Function meatGmm in Package momentfit ~~

Algorithms to solve for the Lagrange multiplier

linearModel-class

Class "linearModel"

Class "mconfint"

Least Squares Methods for Moment Models

~~ Methods for Function merge in Package base ~~

Class "lsefit"

minAlgoStd-class

Class "minAlgoStd"

Class "minAlgo"

minAlgoNlm-class

Class "minAlgoNlm"

momentStrength-methods

~~ Methods for Function momentStrength in Package momentfit ~~

Constructor for "momentModel" classes

model.matrix-methods

~~ Methods for Function model.matrix in Package stats ~~

nonlinearModel-class

Class "nonlinearModel"

momentWeights-class

Class "momentWeights"

momentModel-class

Class "momentModel"

Methods for Function minFit in Package momentfit ~~

Methods for Function momFct in Package momentfit

modelDims-methods

Methods for Function modelDims

modelResponse-methods

~~ Methods for Function modelResponse in Package momentfit ~~

rformulaModel-class

Class "rformulaModel"

GEL objective functions

Class "regModel"

restModel-methods

~~ Methods for Function restModel in Package momentfit ~~

~~ Methods for Function plot from package graphics ~~

Methods for Function print in Package base

residuals-methods

~~ Methods for Function residuals in Package stats ~~

rfunctionModel-class

Class "rfunctionModel"

printRestrict-methods

~~ Methods for Function printRestrict in Package momentfit ~~

~~ Methods for Function quadra in Package momentfit ~~

rmomentModel-class

Class "rmomentModel"

rnonlinearModel-class

Class "rnonlinearModel"

Class "sgmmfit"

rlinearModel-class

Class "rlinearModel"

Class "sSpec"

rslinearModel-class

Class "rslinearModel"

rsnonlinearModel-class

Class "rsnonlinearModel"

sfunctionModel-class

Class "sfunctionModel"

rsysModel-class

Class "rsysModel"

setCoef-methods

Methods for Function setCoef in Package momentfit ~~

Class "stsls"

solveGmm-methods

~~ Methods for Function solveGmm in Package momentfit ~~

solveGel-methods

~~ Methods for Function solveGel in Package momentfit ~~

snonlinearModel-class

Class "snonlinearModel"

~~ Methods for Function show in Package methods ~~

specTest-methods

~~ Methods for Function specTest in Package momentfit ~~

Class "specTest"

Simulated data.

Subsetting methods

slinearModel-class

Class "slinearModel"

Class "sysModel"

Constructor for "sysMomentModel" classes

sysMomentWeights-class

Class "sysMomentWeights"

summary-methods

~~ Methods for Function summary in Package base ~~

summarySysGmm-class

Class "summarySysGmm"

summaryGel-class

Class "summaryGel"

summaryGmm-class

Class "summaryGmm"

summaryKclass-class

Class "summaryKclass"

A guide to estimating systems of equations

~~ Methods for Function tsls in Package momentfit ~~

~~ Methods for Function vcov in Package stats ~~

Tests for weak Instruments

vcovHAC-methods

~~ Methods for Function vcovHAC in Package sandwich ~~

~~ Methods for Function update in Package stats ~~

Health data from Greene (2012) applications.

Manufacturing Costs data from Bernt and Wood (1975)

Klein (1950) macro data.