| Authors: | Pierre Chaussé |
| Title: | [download] (3689)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] (3689)Computing Generalized Method of Moments and Generalized Empirical Likelihood with R (application/pdf, 778.6 KB) |
| Supplements: | [download] (491)R source package (application/x-gzip, 980.9 KB) |
| [download] (653)R example code from the paper (application/octet-stream, 11.4 KB) |
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| Resources: | BibTeX | OAI |
