Computing Generalized Method of Moments and Generalized Empirical Likelihood with R

Pierre Chausse

Journal of Statistical Software, 2010, vol. 034, issue i11

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.

Date: 2010-05-31
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:034:i11

DOI: 10.18637/jss.v034.i11

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