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Authors: Pierre Chaussé
Title: [download]
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Computing Generalized Method of Moments and Generalized Empirical Likelihood with R
Reference: Vol. 34, Issue 11, May 2010
Submitted 2009-08-26, Accepted 2010-01-29
Type: Article
Abstract:

This paper shows how to estimate models by the generalized method of moments and the generalized empirical likelihood using the R package gmm. A brief discussion is offered on the theoretical aspects of both methods and the functionality of the package is presented through several examples in economics and finance.

Paper: [download]
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Computing Generalized Method of Moments and Generalized Empirical Likelihood with R
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Supplements: [download]
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R source package
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R example code from the paper
(application/octet-stream, 11.4 KB)
Resources: BibTeX | OAI
Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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