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
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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