Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Pierre Chaussé
Title: Computing Generalized Method of Moments and Generalized Empirical Likelihood with R
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.

Page views:: 9664. Submitted: 2009-08-26. Published: 2010-05-31.
Paper: Computing Generalized Method of Moments and Generalized Empirical Likelihood with R     Download PDF (Downloads: 10360)
Supplements:
gmm_1.3-2.tar.gz: R source package Download (Downloads: 1159; 980KB)
v34i11.R: R example code from the paper Download (Downloads: 1454; 11KB)
DOI: 10.18637/jss.v034.i11

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.