It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (GMM) of Hansen(1982), the iterated GMM and continuous updated estimator (CUE) of Hansen-Eaton-Yaron(1996) and several methods that belong to the Generalized Empirical Likelihood (GEL) family of estimators, as presented by Smith(1997), Kitamura(1997), Newey-Smith(2004) and Anatolyev(2005).
| Version: | 1.5-0 |
| Depends: | R (≥ 2.10.0), sandwich |
| Imports: | stats |
| Suggests: | mvtnorm, car, stabledist, MASS, timeDate, timeSeries |
| Published: | 2013-12-11 |
| Author: | Pierre Chausse |
| Maintainer: | Pierre Chausse <pchausse at uwaterloo.ca> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Citation: | gmm citation info |
| Materials: | NEWS |
| In views: | Econometrics, Finance |
| CRAN checks: | gmm results |
| Reference manual: | gmm.pdf |
| Vignettes: |
Computing Generalized Empirical Likelihood and Generalized Method of Moments with R |
| Package source: | gmm_1.5-0.tar.gz |
| Windows binaries: | r-devel: gmm_1.5-0.zip, r-release: gmm_1.5-0.zip, r-oldrel: gmm_1.5-0.zip |
| OS X Snow Leopard binaries: | r-release: gmm_1.5-0.tgz, r-oldrel: gmm_1.5-0.tgz |
| OS X Mavericks binaries: | r-release: gmm_1.5-0.tgz |
| Old sources: | gmm archive |
| Reverse depends: | ivlewbel, tmvtnorm |
| Reverse enhances: | stargazer, texreg |