Computing Generalized Method of Moments and Generalized Empirical Likelihood withR

Pierre Chaussé
2010 Journal of Statistical Software  
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 Statistical Software. It has been adapted to the version 1.4-0.
doi:10.18637/jss.v034.i11 fatcat:dy6cd77mxvevnc5noq2w4kjr7i