R package 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 (GMM) of Hansen(1982), the iterated GMM and continuous updated estimator (CUE) of Hansen-Eaton-Yaron(1996) and several methods that belong to the Generalized Empirical Likelihood (GEL) family of estimators, as presented by Smith(1997), Kitamura(1997), Newey-Smith(2004) and Anatolyev(2005).
Keywords for this software
References in zbMATH (referenced in 4 articles , 1 standard article )
Showing results 1 to 4 of 4.
- Bradley C. Saul, Michael G. Hudgens: The Calculus of M-Estimation in R with geex (2020) not zbMATH
- Zhou, Mai: Empirical likelihood method in survival analysis (2016)
- Bollen, Kenneth A.; Kolenikov, Stanislav; Bauldry, Shawn: Model-implied instrumental variable-generalized method of moments (MIIV-GMM) estimators for latent variable models (2014)
- Pierre Chaussé: Computing Generalized Method of Moments and Generalized Empirical Likelihood with R (2010) not zbMATH