Computing Generalized Method of Moments and Generalized Empirical Likelihood withR
نویسندگان
چکیده
منابع مشابه
Generalized Method of Moments and Empirical Likelihood
Generalized method of moments (GMM) estimation has become an important unifying framework for inference in econometrics in the last 20 years. It can be thought of as encompassing almost all of the common estimation methods, such as maximum likelihood, ordinary least squares, instrumental variables, and two-stage least squares, and nowadays is an important part of all advanced econometrics textb...
متن کاملComputing Generalized Empirical Likelihood and Generalized Method of Moments with R
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.
متن کاملComputing Generalized Method of Moments and Generalized Empirical Likelihood with R
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. It is a modified version of Chaussé (2010) published in the Journal of Statistic...
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This paper studies moderate deviation behaviors of the generalized method of moments and generalized empirical likelihood estimators for generalized estimating equations, where the number of equations can be larger than the number of unknown parameters. We consider two cases for the data generating probability measure: the model assumption and local contaminations or deviations from the model a...
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ژورنال
عنوان ژورنال: Journal of Statistical Software
سال: 2010
ISSN: 1548-7660
DOI: 10.18637/jss.v034.i11