Introduction | Generalized method of moments | GMM with R | Generalized empirical likelihood | GEL with R | Conclusion | Computational Details
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:
gmm_1.8.tar.gz
gmm_1.8.zip(r-4.7)gmm_1.8.zip(r-4.6)gmm_1.8.zip(r-4.5)
gmm_1.8.tgz(r-4.6-x86_64)gmm_1.8.tgz(r-4.6-arm64)gmm_1.8.tgz(r-4.5-x86_64)gmm_1.8.tgz(r-4.5-arm64)
gmm_1.8.tar.gz(r-4.7-arm64)gmm_1.8.tar.gz(r-4.7-x86_64)gmm_1.8.tar.gz(r-4.6-arm64)gmm_1.8.tar.gz(r-4.6-x86_64)
gmm_1.8.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
gmm/json (API)
| # Install 'gmm' in R: |
| install.packages('gmm', repos = c('https://pchausse.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/pchausse/gmm/issues
Datasets:
Last updated from:78616a898b. Checks:11 NOTE, 2 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | NOTE | 148 | ||
| linux-devel-x86_64 | NOTE | 148 | ||
| source / vignettes | OK | 251 | ||
| linux-release-arm64 | NOTE | 153 | ||
| linux-release-x86_64 | NOTE | 142 | ||
| macos-release-arm64 | NOTE | 168 | ||
| macos-release-x86_64 | NOTE | 267 | ||
| macos-oldrel-arm64 | NOTE | 136 | ||
| macos-oldrel-x86_64 | NOTE | 265 | ||
| windows-devel | NOTE | 113 | ||
| windows-release | NOTE | 109 | ||
| windows-oldrel | NOTE | 107 | ||
| wasm-release | OK | 152 |
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
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| ATE with Generalized Empirical Likelihood estimation | ATEgel checkConv |
| Bread for sandwiches | bread.gel bread.gmm bread.tsls |
| Wilhelm (2015) bandwidth selection | bwWilhelm |
| The characteristic function of a stable distribution | charStable |
| Coefficients of GEL or GMM | coef.gel coef.gmm |
| Confidence intervals for GMM or GEL | confint.ategel confint.gel confint.gmm print.confint |
| Extracts the empirical moment function | estfun.gel estfun.gmm estfun.gmmFct estfun.tsls model.matrix.tsls |
| Returns on selected stocks | Finance |
| Method to finalize the result of the momentEstim method | FinRes.baseGmm.res |
| Fitted values of GEL and GMM | fitted.gel fitted.gmm |
| Formula method for gel and gmm objects | formula.gel formula.gmm |
| Generalized Empirical Likelihood estimation | evalGel gel |
| Extracting data from a formula | getDat |
| Implied Probabilities | getImpProb getImpProb.gel |
| Solving for the Lagrange multipliers of Generalized Empirical Likelihood (GEL) | getLamb |
| Method for setting the properties of a model | getModel.ateGel getModel.baseGel getModel.baseGmm getModel.constGel getModel.constGmm getModel.sysGmm getModel.tsls |
| Generalized method of moment estimation | evalGmm gmm gmmWithConst |
| Growth Data | Growth |
| Compute the K statistics of Kleibergen | KTest print.gmmTests |
| Marginal effects Summary | marginal marginal.ategel |
| Method for estimating models based on moment conditions | momentEstim.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 objects | plot.gel plot.gmm |
| Printing a gmm or gel object | print.gel print.gmm print.sysGmm |
| Residuals of GEL or GMM | residuals.gel residuals.gmm |
| Kernel smoothing of a matrix of time series | smoothG |
| Compute tests of specification | print.specTest specTest specTest.gel specTest.gmm |
| Method for object of class gmm or gel | print.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 equations | five randEffect sur sysGmm threeSLS |
| Two stage least squares estimation | tsls |
| Variance-covariance matrix of GMM or GEL | vcov.ategel vcov.gel vcov.gmm vcov.tsls |
| Labor Data | wage |
