gmm
swMATH15912CRANgmmMaRDI QIDQ27784FDOQ27784
Generalized Method of Moments and Generalized Empirical Likelihood
Last update: 6 June 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.7, 0.1-0, 1.0-0, 1.0-1, 1.0-2, 1.0-3, 1.0-4, 1.0-6, 1.0-7, 1.1-0, 1.1-1, 1.3-0, 1.3-2, 1.3-3, 1.3-5, 1.3-6, 1.3-8, 1.4-0, 1.4-1, 1.4-2, 1.4-3, 1.4-4, 1.4-5, 1.5-0, 1.5-1, 1.5-2, 1.6-1, 1.6-2, 1.6-4, 1.6-5, 1.6-6, 1.8
Official website: https://cran.r-project.org/web/packages/gmm/index.html
Source code repository: https://github.com/cran/gmm
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>).
- Alternative Semi‐parametric Likelihood Approaches to Generalised Method of Moments Estimation
- Empirical likelihood methods with weakly dependent processes
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- GMM, GEL, Serial Correlation, and Asymptotic Bias
- Finite-Sample Properties of Some Alternative GMM Estimators
- Large Sample Properties of Generalized Method of Moments Estimators
Cited In (22)
- Empirical likelihood method in survival analysis
- timeDate
- tmvtnorm
- miivfind
- ELYP
- el.convex
- km.ci
- kmc
- fastM
- REndo
- geeM
- smoothmest
- geex
- sspecialreg
- WONDER
- naivereg
- OneSampleMR
- extremeIndex
- Model-implied instrumental variable-generalized method of moments (MIIV-GMM) estimators for latent variable models
- estprod
- PointFore
- sfadv
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