gmm
Generalized Method of Moments and Generalized Empirical Likelihood
It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (Hansen 1982; doi:10.2307/1912775), the iterated GMM and continuous updated estimator (Hansen, Eaton and Yaron 1996; doi:10.2307/1392442) and several methods that belong to the Generalized Empirical Likelihood family of estimators (Smith 1997; doi:10.1111/j.0013-0133.1997.174.x, Kitamura 1997; doi:10.1214/aos/1069362388, Newey and Smith 2004; doi:10.1111/j.1468-0262.2004.00482.x, and Anatolyev 2005 doi:10.1111/j.1468-0262.2005.00601.x).
- Version1.8
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- gmm citation info
- Last release06/06/2023
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Team
Pierre Chausse
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- Depends1 package
- Suggests7 packages
- Reverse Depends1 package
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