gmm (Q27784)
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Generalized Method of Moments and Generalized Empirical Likelihood
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | gmm |
Generalized Method of Moments and Generalized Empirical Likelihood |
Statements
6 June 2023
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It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (Hansen 1982; <doi:10.2307/1912775>), the iterated GMM and continuous updated estimator (Hansen, Eaton and Yaron 1996; <doi:10.2307/1392442>) and several methods that belong to the Generalized Empirical Likelihood family of estimators (Smith 1997; <doi:10.1111/j.0013-0133.1997.174.x>, Kitamura 1997; <doi:10.1214/aos/1069362388>, Newey and Smith 2004; <doi:10.1111/j.1468-0262.2004.00482.x>, and Anatolyev 2005 <doi:10.1111/j.1468-0262.2005.00601.x>).
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expanded from: GPL (≥ 2) (English)
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