Package: momentfit 0.5

momentfit: Methods of Moments

Several classes for moment-based models are defined. The classes are defined for moment conditions derived from a single equation or a system of equations. The conditions can also be expressed as functions or formulas. Several methods are also offered to facilitate the development of different estimation techniques. The methods that are currently provided are the Generalized method of moments (Hansen 1982; <doi:10.2307/1912775>), for single equations and systems of equation, and the Generalized Empirical Likelihood (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]>

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NEWS

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

Peer review:

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

Uses libs:
  • openblas– Optimized BLAS
  • fortran– Runtime library for GNU Fortran applications
Datasets:
  • CigarettesSW - Cigarette Consumption Panel Data
  • ConsumptionG - Consumption data from Greene (2012) applications.
  • Griliches - Return to Education Data
  • HealthRWM - Health data from Greene (2012) applications.
  • Klein - Klein (1950) macro data.
  • LabourCR - Labour data from Greene (2012) applications,
  • ManufactCost - Manufacturing Costs data from Bernt and Wood
  • Mroz - Labour data on married women
  • simData - Simulated data.

On CRAN:

4.78 score 1 packages 20 scripts 407 downloads 58 exports 3 dependencies

Last updated 9 months agofrom:cf29b1a61c. Checks:OK: 1 NOTE: 8. 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_64NOTEOct 29 2024
R-4.3-mac-x86_64NOTEOct 29 2024
R-4.3-mac-aarch64NOTEOct 29 2024

Exports:breadcoefconfintDresidualsDWHEEL_lamETXX_lamevalDMomentevalGelevalGelObjevalGmmevalGmmObjevalMomentevalWeightsgel4gelFitgetImpProbgetLambdagetRestrictgmm4gmmFithypothesisTestkernapplymeatGmmmergemodel.matrixmodelDimsmodelResponsemomentModelmomentStrengthmomFctplotprintprintRestrictquadraREEL_lamresidualsrestModelrhoEELrhoELrhoETrhoETELrhoETHDrhoHDsetCoefshowsolveGelsolveGmmspecTestsubsetsummarysysMomentModelThreeSLStslsupdatevcovvcovHACWu_lam

Dependencies:latticesandwichzoo

Generalized Empirical Likelihood with R

Rendered fromgelS4.Rnwusingknitr::knitron Oct 29 2024.

Last update: 2023-06-29
Started: 2023-06-29

Generalized Method of Moments with R

Rendered fromgmmS4.Rnwusingknitr::knitron Oct 29 2024.

Last update: 2023-06-29
Started: 2023-06-29

Readme and manuals

Help Manual

Help pageTopics
Subsetting methodssubset subset,formulaModel-method subset,functionModel-method subset,regModel-method subset,sysModel-method [,formulaModel,numeric,missing-method [,functionModel,numeric,missing-method [,momentModel,missing,missing-method [,momentWeights,missing,missing-method [,momentWeights,numeric,missing-method [,regModel,numeric,missing-method [,rfunctionModel,numeric,missing-method [,rslinearModel,numeric,missing-method [,rsnonlinearModel,numeric,missing-method [,sfunctionModel,numeric,missing-method [,slinearModel,numeric,missing-method [,snonlinearModel,numeric,missing-method [,sysModel,missing,list-method [,sysModel,missing,missing-method [,sysModel,numeric,list-method [,sysMomentWeights,missing,list-method [,sysMomentWeights,numeric,list-method [,sysMomentWeights,numeric,missing-method [-methods
Class '"allNLModel"'allNLModel-class
~~ Methods for Function 'bread' in Package 'sandwich' ~~bread bread,gmmfit-method bread,sgmmfit-method bread,tsls-method bread-methods
Cigarette Consumption Panel DataCigarettesSW
~~ Methods for Function 'coef' in Package 'stats' ~~coef,gelfit-method coef,gmmfit-method coef,momentModel-method coef,rformulaModel-method coef,rfunctionModel-method coef,rlinearModel-method coef,rnonlinearModel-method coef,rslinearModel-method coef,rsnonlinearModel-method coef,sgmmfit-method coef-methods
Class '"confint"'confint-class
~~ Methods for Function 'confint' in Package 'stats' ~~confint,ANY-method confint,data.frame-method confint,gelfit-method confint,gmmfit-method confint,matrix-method confint,numeric-method confint-methods
Consumption data from Greene (2012) applications.ConsumptionG
~~ Methods for Function 'Dresiduals' in Package 'Gmm' ~~Dresiduals Dresiduals,linearModel-method Dresiduals,nonlinearModel-method Dresiduals,rsnonlinearModel-method Dresiduals,sysModel-method Dresiduals-methods
~~ Methods for Function 'DWH' in Package 'momentfit' ~~DWH DWH,gmmfit,gmmfit-method DWH,gmmfit,lm-method DWH,gmmfit,missing-method DWH-methods
~~ Methods for Function 'estfun' in Package 'sandwich' ~~estfun,momentModel-method estfun-methods
~~ Methods for Function 'evalDMoment' in Package 'momentfit' ~~evalDMoment evalDMoment,formulaModel-method evalDMoment,functionModel-method evalDMoment,regModel-method evalDMoment,rformulaModel-method evalDMoment,rfunctionModel-method evalDMoment,rnonlinearModel-method evalDMoment,rslinearModel-method evalDMoment,rsnonlinearModel-method evalDMoment,sysModel-method evalDMoment-methods
~~ Methods for Function 'evalGel' in Package 'modelfit' ~~evalGel evalGel,momentModel-method evalGel-methods
~~ Methods for Function 'evalGelObj' in Package 'Gmm' ~~evalGelObj evalGelObj,momentModel,numeric,numeric-method evalGelObj-methods
~~ Methods for Function 'evalGmm' in Package 'modelfit' ~~evalGmm evalGmm,momentModel-method evalGmm,sysModel-method evalGmm-methods
~~ Methods for Function 'evalGmmObj' in Package 'momentfit' ~~evalGmmObj evalGmmObj,momentModel,numeric,momentWeights-method evalGmmObj,sysModel,list,sysMomentWeights-method evalGmmObj-methods
~~ Methods for Function 'evalMoment' in Package 'momentfit' ~~evalMoment evalMoment,formulaModel-method evalMoment,functionModel-method evalMoment,regModel-method evalMoment,rsysModel-method evalMoment,sysModel-method evalMoment-methods
Methods for Function 'evalWeights' in Package 'Gmm'evalWeights evalWeights,momentModel-method evalWeights,rslinearModel-method evalWeights,sysModel-method evalWeights-methods
Class '"formulaModel"'formulaModel-class
Class '"functionModel"'functionModel-class
GEL estimationgel4
Class '"gelfit"'gelfit-class
~~ Methods for Function 'gelFit' in Package 'momentfit' ~~gelFit gelFit,momentModel-method gelFit,rmomentModel-method gelFit-methods
~~ Methods for Function 'getImpProb' in Package 'momenfit' ~~getImpProb getImpProb,gelfit-method
~~ Methods for Function 'getRestrict' in Package 'momentfit' ~~getRestrict getRestrict,momentModel-method getRestrict,rformulaModel-method getRestrict,rfunctionModel-method getRestrict,rlinearModel-method getRestrict,rnonlinearModel-method getRestrict,rslinearModel-method getRestrict,rsnonlinearModel-method getRestrict,sysModel-method getRestrict-methods
GMM estimationgmm4 ThreeSLS,list-method tsls,formula-method tsls,list-method
Class '"gmmfit"'gmmfit-class
~~ Methods for Function 'gmmFit' in Package 'momentfit' ~~gmmFit gmmFit,formulaModel-method gmmFit,momentModel-method gmmFit,rformulaModel-method gmmFit,rlinearModel-method gmmFit,rnonlinearModel-method gmmFit,rslinearModel-method gmmFit,sysModel-method gmmFit-methods
Return to Education DataGriliches
Health data from Greene (2012) applications.HealthRWM
Class '"hypothesisTest"'hypothesisTest-class
~~ Methods for Function 'hypothesisTest' in Package 'momentfit' ~~hypothesisTest hypothesisTest,gmmfit,gmmfit-method hypothesisTest,gmmfit,missing-method hypothesisTest,missing,gmmfit-method hypothesisTest,missing,sgmmfit-method hypothesisTest,sgmmfit,missing-method hypothesisTest,sgmmfit,sgmmfit-method hypothesisTest-methods
A kernel smoothing utility for '"momentModel"' classeskernapply kernapply,momentModel-method kernapply-methods
Klein (1950) macro data.Klein
Labour data from Greene (2012) applications,LabourCR
Algorithms to solve for the Lagrange multiplierEEL_lam ETXX_lam getLambda REEL_lam Wu_lam
Class '"linearModel"'linearModel-class
Manufacturing Costs data from Bernt and Wood (1975)ManufactCost
Class '"mconfint"'mconfint-class
~~ Methods for Function 'meatGmm' in Package 'momentfit' ~~meatGmm meatGmm,gmmfit-method meatGmm,sgmmfit-method meatGmm,tsls-method meatGmm-methods
~~ Methods for Function 'merge' in Package 'base' ~~merge merge,ANY,ANY-method merge,linearModel,linearModel-method merge,nonlinearModel,nonlinearModel-method merge,slinearModel,linearModel-method merge,snonlinearModel,nonlinearModel-method merge-methods
~~ Methods for Function 'model.matrix' in Package 'stats' ~~model.matrix model.matrix,linearModel-method model.matrix,nonlinearModel-method model.matrix,rlinearModel-method model.matrix,rslinearModel-method model.matrix,rsnonlinearModel-method model.matrix,slinearModel-method model.matrix,snonlinearModel-method model.matrix-methods
Methods for Function 'modelDims'modelDims modelDims,formulaModel-method modelDims,functionModel-method modelDims,linearModel-method modelDims,nonlinearModel-method modelDims,rformulaModel-method modelDims,rfunctionModel-method modelDims,rlinearModel-method modelDims,rnonlinearModel-method modelDims,rslinearModel-method modelDims,rsnonlinearModel-method modelDims,sfunctionModel-method modelDims,slinearModel-method modelDims,snonlinearModel-method modelDims,sysMomentModel-method modelDims-methods
~~ Methods for Function 'modelResponse' in Package 'momentfit' ~~modelResponse modelResponse,linearModel-method modelResponse,rlinearModel-method modelResponse,rslinearModel-method modelResponse,slinearModel-method modelResponse-methods
Constructor for '"momentModel"' classesmomentModel
Class '"momentModel"'momentModel-class
~~ Methods for Function 'momentStrength' in Package 'momentfit' ~~momentStrength momentStrength,formulaModel-method momentStrength,functionModel-method momentStrength,linearModel-method momentStrength,nonlinearModel-method momentStrength,rlinearModel-method momentStrength-methods
Class '"momentWeights"'momentWeights momentWeights-class
Methods for Function 'momFct' in Package 'momentfit'momFct momFct,numeric,gelfit-method momFct-methods
Labour data on married womenMroz
Class '"nonlinearModel"'nonlinearModel-class
~~ Methods for Function 'plot' from package 'graphics' ~~plot,ANY-method plot,mconfint-method plot-methods
Methods for Function 'print' in Package 'base'print,ANY-method print,confint-method print,gelfit-method print,gmmfit-method print,hypothesisTest-method print,mconfint-method print,momentModel-method print,momentWeights-method print,rformulaModel-method print,rfunctionModel-method print,rlinearModel-method print,rnonlinearModel-method print,rslinearModel-method print,rsnonlinearModel-method print,sgmmfit-method print,specTest-method print,sSpec-method print,summaryGel-method print,summaryGmm-method print,summarySysGmm-method print,sysModel-method print,sysMomentWeights-method print-methods
~~ Methods for Function 'printRestrict' in Package 'momentfit' ~~printRestrict printRestrict,rformulaModel-method printRestrict,rfunctionModel-method printRestrict,rlinearModel-method printRestrict,rnonlinearModel-method printRestrict,rslinearModel-method printRestrict,rsnonlinearModel-method printRestrict-methods
~~ Methods for Function 'quadra' in Package 'momentfit' ~~quadra quadra,momentWeights,matrixORnumeric,matrixORnumeric-method quadra,momentWeights,matrixORnumeric,missing-method quadra,momentWeights,missing,missing-method quadra,sysMomentWeights,matrixORnumeric,matrixORnumeric-method quadra,sysMomentWeights,matrixORnumeric,missing-method quadra,sysMomentWeights,missing,missing-method quadra-methods
Class '"regModel"'regModel-class
~~ Methods for Function 'residuals' in Package 'stats' ~~residuals,ANY-method residuals,gelfit-method residuals,gmmfit-method residuals,linearModel-method residuals,nonlinearModel-method residuals,rsysModel-method residuals,sgmmfit-method residuals,sysModel-method residuals-methods
~~ Methods for Function 'restModel' in Package 'momentfit' ~~restModel restModel,formulaModel-method restModel,functionModel-method restModel,linearModel-method restModel,nonlinearModel-method restModel,slinearModel-method restModel,snonlinearModel-method restModel-methods
Class '"rformulaModel"'rformulaModel-class
Class '"rfunctionModel"'rfunctionModel-class
GEL objective functionsrhoEEL rhoEL rhoET rhoETEL rhoETHD rhoFct rhoHD rhoREEL
Class '"rlinearModel"'rlinearModel-class
Class '"rmomentModel"'rmomentModel-class
Class '"rnonlinearModel"'rnonlinearModel-class
Class '"rslinearModel"'rslinearModel-class
Class '"rsnonlinearModel"'rsnonlinearModel-class
Class '"rsysModel"'rsysModel-class
Methods for Function 'setCoef' in Package 'momentfit' ~~setCoef setCoef,momentModel-method setCoef,sysModel-method setCoef-methods
Class '"sfunctionModel"'sfunctionModel-class
Class '"sgmmfit"'sgmmfit-class
~~ Methods for Function 'show' in Package 'methods' ~~show,ANY-method show,confint-method show,gelfit-method show,gmmfit-method show,hypothesisTest-method show,mconfint-method show,momentModel-method show,momentWeights-method show,sgmmfit-method show,specTest-method show,sSpec-method show,summaryGel-method show,summaryGmm-method show,summarySysGmm-method show,sysModel-method show,sysMomentWeights-method show-methods
Simulated data.simData
Class '"slinearModel"'slinearModel-class
Class '"snonlinearModel"'snonlinearModel-class
~~ Methods for Function 'solveGel' in Package 'momentfit' ~~solveGel solveGel,momentModel-method solveGel-methods
~~ Methods for Function 'solveGmm' in Package 'momentfit' ~~solveGmm solveGmm,allNLModel,momentWeights-method solveGmm,linearModel,momentWeights-method solveGmm,rnonlinearModel,momentWeights-method solveGmm,rslinearModel,sysMomentWeights-method solveGmm,sfunctionModel,sysMomentWeights-method solveGmm,slinearModel,sysMomentWeights-method solveGmm,snonlinearModel,sysMomentWeights-method solveGmm-methods
Class '"specTest"'specTest-class
~~ Methods for Function 'specTest' in Package 'momentfit' ~~specTest specTest,gelfit,missing-method specTest,gmmfit,missing-method specTest,gmmfit,numeric-method specTest,sgmmfit,missing-method specTest-methods
Class '"sSpec"'sSpec-class
Class '"stsls"'stsls-class
~~ Methods for Function 'summary' in Package 'base' ~~summary summary,gelfit-method summary,gmmfit-method summary,sgmmfit-method summary-methods
Class '"summaryGel"'summaryGel-class
Class '"summaryGmm"'summaryGmm-class
Class '"summarySysGmm"'summarySysGmm-class
Class '"sysModel"'sysModel-class
Constructor for '"sysMomentModel"' classessysMomentModel
Class '"sysMomentWeights"'sysMomentWeights-class
A guide to estimating systems of equationssystemGmm
~~ Methods for Function 'ThreeSLS' in Package 'momentfit' ~~ThreeSLS ThreeSLS,rslinearModel-method ThreeSLS,slinearModel-method ThreeSLS-methods
Class '"tsls"'tsls-class
~~ Methods for Function 'tsls' in Package 'momentfit' ~~tsls tsls,linearModel-method tsls,slinearModel-method tsls-methods
~~ Methods for Function 'update' in Package 'stats' ~~update,ANY-method update,gelfit-method update,gmmfit-method update,list-method update,momentModel-method update-methods
~~ Methods for Function 'vcov' in Package 'stats' ~~vcov,gelfit-method vcov,gmmfit-method vcov,momentModel-method vcov,sgmmfit-method vcov,sysModel-method vcov,tsls-method vcov-methods
~~ Methods for Function 'vcovHAC' in Package 'sandwich' ~~vcovHAC,momentModel-method vcovHAC-methods