Computing Generalized Method of Moments and Generalized Empirical Likelihood with R
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Authors | Pierre Chauss |
Journal/Conference Name | Journal of Statistical Software |
Paper Category | Other |
Paper 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 oered on the theoretical aspects of both methods and the functionality of the package is presented through several examples in economics and nance. It is a modied version of Chauss e (2010) published in the Journal of Statistical Software. It has been adapted to the version 1.4-0. |
Date of publication | 2010 |
Code Programming Language | R |
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