gmm

MaRDI QIDQ27784swMATHCRANFDO

Authors Pierre Chausse

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

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>).

Cites work

• 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)

• Model-implied instrumental variable-generalized method of moments (MIIV-GMM) estimators for latent variable models
• timeDate
• tmvtnorm
• miivfind
• ELYP
• el.convex
• km.ci
• kmc
• fastM
• REndo
• geeM
• smoothmest
• geex
• sspecialreg
• WONDER
• Empirical likelihood method in survival analysis
• naivereg
• OneSampleMR
• extremeIndex
• estprod
• PointFore
• sfadv

This page was built for software: gmm