gmm (Q27784): Difference between revisions

← Older edit

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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>).
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+Pierre Chausse
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+Large Sample Properties of Generalized Method of Moments Estimators
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+Finite-Sample Properties of Some Alternative GMM Estimators
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+Alternative Semi‐parametric Likelihood Approaches to Generalised Method of Moments Estimation
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+Empirical likelihood methods with weakly dependent processes
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+Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
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+GMM, GEL, Serial Correlation, and Asymptotic Bias
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+Software:27784

Latest revision as of 16:13, 21 March 2024

Generalized Method of Moments and Generalized Empirical Likelihood

Language	Label	Description	Also known as
English	gmm	Generalized Method of Moments and Generalized Empirical Likelihood

Statements

instance of

R package

0 references

software version identifier

1.7

publication date

12 August 2022

0 references

0.1-0

publication date

19 October 2008

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1.0-0

publication date

24 November 2008

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1.0-1

publication date

4 February 2009

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1.0-2

publication date

5 March 2009

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1.0-3

publication date

9 March 2009

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1.0-4

publication date

11 March 2009

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1.0-6

publication date

12 May 2009

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1.0-7

publication date

2 July 2009

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1.1-0

publication date

27 August 2009

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1.1-1

publication date

7 September 2009

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1.3-0

publication date

10 January 2010

0 references

1.3-2

publication date

25 May 2010

0 references

1.3-3

publication date

26 September 2010

0 references

1.3-5

publication date

27 March 2011

0 references

1.3-6

publication date

7 April 2011

0 references

1.3-8

publication date

28 July 2011

0 references

1.4-0

publication date

25 May 2012

0 references

1.4-1

publication date

30 May 2012

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1.4-2

publication date

19 June 2012

0 references

1.4-3

publication date

23 September 2012

0 references

1.4-4

publication date

22 November 2012

0 references

1.4-5

publication date

11 January 2013

0 references

1.5-0

publication date

11 December 2013

0 references

1.5-1

publication date

9 February 2015

0 references

1.5-2

publication date

17 March 2015

0 references

1.6-1

publication date

15 June 2017

0 references

1.6-2

publication date

15 March 2018

0 references

1.6-4

publication date

4 December 2019

0 references

1.6-5

publication date

28 May 2020

0 references

1.6-6

publication date

5 March 2021

0 references

1.8

publication date

6 June 2023

0 references

0 references

0 references

MaRDI software profile

0 references

last update

6 June 2023

0 references

description

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>).

0 references

author

Pierre Chausse

0 references

copyright license

GNU General Public License, version 2.0

0 references

GNU General Public License, version 3.0

edition/version

expanded from: GPL (≥ 2) (English)

0 references

depends on software