Computing Generalized Empirical Likelihood and Generalized Method of Moments with R
نویسنده
چکیده
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.
منابع مشابه
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 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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