gmm: Generalized Method of Moments and Generalized Empirical Likelihood

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>).

Version:	1.7
Depends:	R (≥ 2.10.0), sandwich
Imports:	stats, methods, grDevices, graphics
Suggests:	knitr, mvtnorm, car, stabledist, MASS, timeDate, timeSeries
Published:	2022-08-12
Author:	Pierre Chausse
Maintainer:	Pierre Chausse <pchausse at uwaterloo.ca>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation:	yes
Citation:	gmm citation info
Materials:	NEWS
In views:	Econometrics, Finance
CRAN checks:	gmm results

Documentation:

Reference manual:	gmm.pdf
Vignettes:	Computing Generalized Empirical Likelihood and Generalized Method of Moments with R

Downloads:

Package source:	gmm_1.7.tar.gz
Windows binaries:	r-devel: gmm_1.7.zip, r-release: gmm_1.7.zip, r-oldrel: gmm_1.6-6.zip
macOS binaries:	r-release (arm64): gmm_1.7.tgz, r-oldrel (arm64): gmm_1.7.tgz, r-release (x86_64): gmm_1.7.tgz, r-oldrel (x86_64): gmm_1.7.tgz
Old sources:	gmm archive

Reverse dependencies:

Reverse depends:	tmvtnorm
Reverse imports:	estprod, extremeIndex, naivereg, OneSampleMR, PointFore, sfadv
Reverse suggests:	broom, mev
Reverse enhances:	stargazer, texreg

Linking:

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