Generalized Method of Moments and Empirical Likelihood
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...
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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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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2002
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500102288618630