Computing Generalized Method of Moments and Generalized Empirical Likelihood with R

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.

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Year of publication:	2010-05-31
Authors:	Chaussé, Pierre
Published in:	Journal of Statistical Software. - American Statistical Association. - Vol. 34.2010, i11
Publisher:	American Statistical Association

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Extent:	text/html
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008460792