gmm: Generalized Method of Moments and Generalized EmpiricalLikelihood
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: | 1.9-1 |
| Depends: | R (≥ 2.10.0),sandwich |
| Imports: | stats, methods, grDevices, graphics |
| Suggests: | knitr,mvtnorm,car,stabledist,MASS,timeDate,timeSeries |
| Published: | 2025-08-26 |
| DOI: | 10.32614/CRAN.package.gmm |
| Author: | Pierre Chausse [aut, cre] |
| 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 |
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