Computing 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 <b>R</b> package <b>gmm<b/>. A brief discussion is offered on the theoretical aspects of both methods and the functionality of the package is presen...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2010-10-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | http://www.jstatsoft.org/v34/i11/paper |
| _version_ | 1811282104628019200 |
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| author | Pierre Chaussé |
| author_facet | Pierre Chaussé |
| author_sort | Pierre Chaussé |
| collection | DOAJ |
| description | This paper shows how to estimate models by the generalized method of moments and the generalized empirical likelihood using the <b>R</b> package <b>gmm<b/>. 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. |
| first_indexed | 2024-04-13T01:46:49Z |
| format | Article |
| id | doaj.art-c735f9f5faf6425c8e68470ece2fe795 |
| institution | Directory Open Access Journal |
| issn | 1548-7660 |
| language | English |
| last_indexed | 2024-04-13T01:46:49Z |
| publishDate | 2010-10-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj.art-c735f9f5faf6425c8e68470ece2fe7952022-12-22T03:08:01ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602010-10-013411Computing Generalized Method of Moments and Generalized Empirical Likelihood with RPierre ChausséThis paper shows how to estimate models by the generalized method of moments and the generalized empirical likelihood using the <b>R</b> package <b>gmm<b/>. 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.http://www.jstatsoft.org/v34/i11/papergeneralized empirical likelihoodgeneralized method of momentsempirical likelihoodcontinuous updated estimatorexponential tiltingexponentially tilted empirical likelihoodR |
| spellingShingle | Pierre Chaussé Computing Generalized Method of Moments and Generalized Empirical Likelihood with R Journal of Statistical Software generalized empirical likelihood generalized method of moments empirical likelihood continuous updated estimator exponential tilting exponentially tilted empirical likelihood R |
| title | Computing Generalized Method of Moments and Generalized Empirical Likelihood with R |
| title_full | Computing Generalized Method of Moments and Generalized Empirical Likelihood with R |
| title_fullStr | Computing Generalized Method of Moments and Generalized Empirical Likelihood with R |
| title_full_unstemmed | Computing Generalized Method of Moments and Generalized Empirical Likelihood with R |
| title_short | Computing Generalized Method of Moments and Generalized Empirical Likelihood with R |
| title_sort | computing generalized method of moments and generalized empirical likelihood with r |
| topic | generalized empirical likelihood generalized method of moments empirical likelihood continuous updated estimator exponential tilting exponentially tilted empirical likelihood R |
| url | http://www.jstatsoft.org/v34/i11/paper |
| work_keys_str_mv | AT pierrechausse computinggeneralizedmethodofmomentsandgeneralizedempiricallikelihoodwithr |