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>).
Version: 1.8 Depends: R (≥ 2.10.0), sandwich Imports: stats, methods, grDevices, graphics Suggests: knitr, mvtnorm, car, stabledist, MASS, timeDate, timeSeries Published: 2023-06-06 DOI: 10.32614/CRAN.package.gmm Author: Pierre Chausse Maintainer: Pierre Chausse <pchausse at uwaterloo.ca> License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] NeedsCompilation: yes Citation: gmm citation info Materials: NEWS In views: Econometrics, Finance CRAN checks: gmm results Documentation: Downloads: Reverse dependencies: Linking:Please use the canonical form https://CRAN.R-project.org/package=gmm to link to this page.
RetroSearch is an open source project built by @garambo | Open a GitHub Issue
Search and Browse the WWW like it's 1997 | Search results from DuckDuckGo
HTML:
3.2
| Encoding:
UTF-8
| Version:
0.7.4