The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.

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: 1.8
Depends: R (≥ 2.10.0), sandwich
Imports: stats, methods, grDevices, graphics
Suggests: knitr, mvtnorm, car, stabledist, MASS, timeDate, timeSeries
Published: 2023-06-06
DOI: 10.32614/CRAN.package.gmm
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_1.8.tar.gz
Windows binaries: r-devel: gmm_1.8.zip, r-release: gmm_1.8.zip, r-oldrel: gmm_1.8.zip
macOS binaries: r-release (arm64): gmm_1.8.tgz, r-oldrel (arm64): gmm_1.8.tgz, r-release (x86_64): gmm_1.8.tgz, r-oldrel (x86_64): gmm_1.8.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:

Please use the canonical form https://CRAN.R-project.org/package=gmm to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.