gmm (1.5-2)

1 user

Generalized Method of Moments and Generalized Empirical Likelihood.

http://cran.r-project.org/web/packages/gmm

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).

Maintainer: Pierre Chausse
Author(s): Pierre Chausse <pchausse@uwaterloo.ca>

License: GPL (>= 2)

Uses: Does not use any package
Reverse depends: tmvtnorm
Reverse suggests: broom, tonymisc
Reverse enhances: stargazer, texreg

Released about 2 years ago.


18 previous versions

Ratings

Overall:

  2.0/5 (1 vote)

Documentation:

  4.0/5 (1 vote)

Log in to vote.

Reviews


Related packages: gets, car, dynlm, FinTS, lmtest, MSBVAR, nlme, sandwich, strucchange, tsDyn, tseries, tsfa, urca, vars, zoo, CADFtest, xts, Zelig, forecast, matchingMarkets(20 best matches, based on common tags.)


Search for gmm on google, google scholar, r-help, r-devel.

Visit gmm on R Graphical Manual.