momentfit
type: Item
instance of: R package
software version identifier: 0.3
software version identifier: 0.1-0
software version identifier: 0.1-1
software version identifier: 0.2
software version identifier: 0.5
CRAN project: momentfit
maintained by: Pierre Chausse
programmed in: R
last update: 2023-06-05T00:00:00Z
description: Several classes for moment-based models are defined. The classes are defined for moment conditions derived from a single equation or a system of equations. The conditions can also be expressed as functions or formulas. Several methods are also offered to facilitate the development of different estimation techniques. The methods that are currently provided are the Generalized method of moments (Hansen 1982; <doi:10.2307/1912775>), for single equations and systems of equation, and the Generalized Empirical Likelihood (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>).
author: Pierre Chausse
copyright license: GNU General Public License, version 2.0
copyright license: GNU General Public License, version 3.0
depends on software: sandwich
depends on software: R
imports: stats
imports: methods
imports: parallel
cites work: Large Sample Properties of Generalized Method of Moments Estimators
cites work: Alternative Semi‐parametric Likelihood Approaches to Generalised Method of Moments Estimation
cites work: Empirical likelihood methods with weakly dependent processes
cites work: Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
cites work: GMM, GEL, Serial Correlation, and Asymptotic Bias
MaRDI profile type: Software
description: Methods of Moments