r-gmm
Generalized Method of Moments and Generalized Empirical Likelihood
Generalized Method of Moments and Generalized Empirical Likelihood
To install this package, run one of the following:
It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (Hansen 1982; <>), the iterated GMM and continuous updated estimator (Hansen, Eaton and Yaron 1996; <>) and several methods that belong to the Generalized Empirical Likelihood family of estimators (Smith 1997; <>, Kitamura 1997; <>, Newey and Smith 2004; <>, and Anatolyev 2005 <>).
Summary
Generalized Method of Moments and Generalized Empirical Likelihood
Information Last Updated
Mar 25, 2025 at 16:19
License
GPL-2 GPL-3
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5