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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 |
| Reference manual: | gmm.pdf |
| Vignettes: |
Computing Generalized Empirical Likelihood and Generalized Method of Moments with R |
| Package source: | gmm_1.8.tar.gz |
| Windows binaries: | r-devel: gmm_1.8.zip, r-release: gmm_1.8.zip, r-oldrel: gmm_1.8.zip |
| macOS binaries: | r-release (arm64): gmm_1.8.tgz, r-oldrel (arm64): gmm_1.8.tgz, r-release (x86_64): gmm_1.8.tgz, r-oldrel (x86_64): gmm_1.8.tgz |
| Old sources: | gmm archive |
| Reverse depends: | tmvtnorm |
| Reverse imports: | estprod, extremeIndex, naivereg, OneSampleMR, PointFore, sfadv |
| Reverse suggests: | broom, mev |
| Reverse enhances: | stargazer, texreg |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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