momentfit
Methods of Moments
Last update: 5 June 2023
Software version identifier: 0.3, 0.1-0, 0.1-1, 0.2, 0.5
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Several classes for moment-based models are defined. The classes are defined for moment conditions derived from a single equation or a system of equations. The conditions can also be expressed as functions or formulas. Several methods are also offered to facilitate the development of different estimation techniques. The methods that are currently provided are the Generalized method of moments (Hansen 1982; <doi:10.2307/1912775>), for single equations and systems of equation, and the Generalized Empirical Likelihood (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>).
- Large Sample Properties of Generalized Method of Moments Estimators
- 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
