Package: gmm 1.8

gmm: Generalized Method of Moments and Generalized Empirical Likelihood

It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (Hansen 1982; <doi:10.2307/1912775>), the iterated GMM and continuous updated estimator (Hansen, Eaton and Yaron 1996; <doi:10.2307/1392442>) and several methods that belong to the Generalized Empirical Likelihood family of estimators (Smith 1997; <doi:10.1111/j.0013-0133.1997.174.x>, Kitamura 1997; <doi:10.1214/aos/1069362388>, Newey and Smith 2004; <doi:10.1111/j.1468-0262.2004.00482.x>, and Anatolyev 2005 <doi:10.1111/j.1468-0262.2005.00601.x>).

Authors:Pierre Chausse <[email protected]>

gmm_1.8.tar.gz
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gmm_1.8.tar.gz(r-4.5-noble)gmm_1.8.tar.gz(r-4.4-noble)
gmm.pdf |gmm.html
gmm/json (API)
NEWS

# Install 'gmm' in R:
install.packages('gmm', repos = c('https://pchausse.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/pchausse/gmm/issues

Uses libs:
  • openblas– Optimized BLAS
  • fortran– Runtime library for GNU Fortran applications
Datasets:
  • Finance - Returns on selected stocks
  • Growth - Growth Data
  • nsw - Lalonde subsample of the National Supported Work Demonstration Data
  • wage - Labor Data

On CRAN:

8.66 score 2 stars 65 packages 305 scripts 7.7k downloads 86 exports 3 dependencies

Last updated 9 months agofrom:78616a898b. Checks:OK: 4 NOTE: 5. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 29 2024
R-4.5-win-x86_64NOTEOct 29 2024
R-4.5-linux-x86_64NOTEOct 29 2024
R-4.4-win-x86_64NOTEOct 29 2024
R-4.4-mac-x86_64NOTEOct 29 2024
R-4.4-mac-aarch64NOTEOct 29 2024
R-4.3-win-x86_64OKOct 29 2024
R-4.3-mac-x86_64OKOct 29 2024
R-4.3-mac-aarch64OKOct 29 2024

Exports:ATEgelbread.gelbread.gmmbread.tslsbwWilhelmcharStablecheckConvcoef.gelcoef.gmmconfint.ategelconfint.gelconfint.gmmestfun.gelestfun.gmmestfun.gmmFctestfun.tslsevalGelevalGmmFinRes.baseGmm.resfitted.gelfitted.gmmfiveformula.gelformula.gmmgelgetDatgetImpProbgetImpProb.gelgetLambgetModel.ateGelgetModel.baseGelgetModel.baseGmmgetModel.constGelgetModel.constGmmgetModel.sysGmmgetModel.tslsgmmgmmWithConstKTestmarginalmarginal.ategelmodel.matrix.tslsmomentEstim.baseGel.evalmomentEstim.baseGel.modmomentEstim.baseGel.modFormulamomentEstim.baseGmm.cuemomentEstim.baseGmm.cue.formulamomentEstim.baseGmm.evalmomentEstim.baseGmm.iterativemomentEstim.baseGmm.iterative.formulamomentEstim.baseGmm.twoStepmomentEstim.baseGmm.twoStep.formulamomentEstim.sysGmm.twoStep.formulamomentEstim.tsls.twoStep.formulaplot.gelplot.gmmprint.confintprint.gelprint.gmmprint.gmmTestsprint.specTestprint.summary.gelprint.summary.gmmprint.summary.sysGmmprint.summary.tslsprint.sysGmmrandEffectresiduals.gelresiduals.gmmsmoothGspecTestspecTest.gelspecTest.gmmsummary.ategelsummary.gelsummary.gmmsummary.sysGmmsummary.tslssursysGmmthreeSLStslsvcov.ategelvcov.gelvcov.gmmvcov.tsls

Dependencies:latticesandwichzoo

Computing Generalized Empirical Likelihood and Generalized Method of Moments with R

Rendered fromgmm_with_R.rnwusingknitr::knitron Oct 29 2024.

Last update: 2023-03-03
Started: 2023-03-03

Readme and manuals

Help Manual

Help pageTopics
ATE with Generalized Empirical Likelihood estimationATEgel checkConv
Bread for sandwichesbread.gel bread.gmm bread.tsls
Wilhelm (2015) bandwidth selectionbwWilhelm
The characteristic function of a stable distributioncharStable
Coefficients of GEL or GMMcoef.gel coef.gmm
Confidence intervals for GMM or GELconfint.ategel confint.gel confint.gmm print.confint
Extracts the empirical moment functionestfun.gel estfun.gmm estfun.gmmFct estfun.tsls model.matrix.tsls
Returns on selected stocksFinance
Method to finalize the result of the momentEstim methodFinRes.baseGmm.res
Fitted values of GEL and GMMfitted.gel fitted.gmm
Formula method for gel and gmm objectsformula.gel formula.gmm
Generalized Empirical Likelihood estimationevalGel gel
Extracting data from a formulagetDat
Implied ProbabilitiesgetImpProb getImpProb.gel
Solving for the Lagrange multipliers of Generalized Empirical Likelihood (GEL)getLamb
Method for setting the properties of a modelgetModel.ateGel getModel.baseGel getModel.baseGmm getModel.constGel getModel.constGmm getModel.sysGmm getModel.tsls
Generalized method of moment estimationevalGmm gmm gmmWithConst
Growth DataGrowth
Compute the K statistics of KleibergenKTest print.gmmTests
Marginal effects Summarymarginal marginal.ategel
Method for estimating models based on moment conditionsmomentEstim.baseGel.eval momentEstim.baseGel.mod momentEstim.baseGel.modFormula momentEstim.baseGmm.cue momentEstim.baseGmm.cue.formula momentEstim.baseGmm.eval momentEstim.baseGmm.iterative momentEstim.baseGmm.iterative.formula momentEstim.baseGmm.twoStep momentEstim.baseGmm.twoStep.formula momentEstim.sysGmm.twoStep.formula momentEstim.tsls.twoStep.formula
Lalonde subsample of the National Supported Work Demonstration Data (NSW)nsw
Plot Diagnostics for gel and gmm objectsplot.gel plot.gmm
Printing a gmm or gel objectprint.gel print.gmm print.sysGmm
Residuals of GEL or GMMresiduals.gel residuals.gmm
Kernel smoothing of a matrix of time seriessmoothG
Compute tests of specificationprint.specTest specTest specTest.gel specTest.gmm
Method for object of class gmm or gelprint.summary.gel print.summary.gmm print.summary.sysGmm print.summary.tsls summary.ategel summary.gel summary.gmm summary.sysGmm summary.tsls
Generalized method of moment estimation for system of equationsfive randEffect sur sysGmm threeSLS
Two stage least squares estimationtsls
Variance-covariance matrix of GMM or GELvcov.ategel vcov.gel vcov.gmm vcov.tsls
Labor Datawage