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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 (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). WWW: http://cran.r-project.org/web/packages/gmm/
10 lines
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Plaintext
10 lines
469 B
Plaintext
It is a complete suite to estimate models based on moment conditions.
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It includes the two step Generalized method of moments (GMM) of
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Hansen(1982), the iterated GMM and continuous updated estimator
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(CUE) of Hansen-Eaton-Yaron(1996) and several methods that belong
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to the Generalized Empirical Likelihood (GEL) family of estimators,
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as presented by Smith(1997), Kitamura(1997), Newey-Smith(2004) and
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Anatolyev(2005).
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WWW: http://cran.r-project.org/web/packages/gmm/
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