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:
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momentfit/json (API)
NEWS
| # Install 'momentfit' in R: |
| install.packages('momentfit', repos = c('https://pchausse.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/pchausse/momentfit/issues
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.
Last updated 10 months agofrom:cf29b1a61c. Checks:OK: 1 NOTE: 8. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 29 2024 |
| R-4.5-win-x86_64 | NOTE | Oct 29 2024 |
| R-4.5-linux-x86_64 | NOTE | Oct 29 2024 |
| R-4.4-win-x86_64 | NOTE | Oct 29 2024 |
| R-4.4-mac-x86_64 | NOTE | Oct 29 2024 |
| R-4.4-mac-aarch64 | NOTE | Oct 29 2024 |
| R-4.3-win-x86_64 | NOTE | Oct 29 2024 |
| R-4.3-mac-x86_64 | NOTE | Oct 29 2024 |
| R-4.3-mac-aarch64 | NOTE | Oct 29 2024 |
Exports:breadcoefconfintDresidualsDWHEEL_lamETXX_lamevalDMomentevalGelevalGelObjevalGmmevalGmmObjevalMomentevalWeightsgel4gelFitgetImpProbgetLambdagetRestrictgmm4gmmFithypothesisTestkernapplymeatGmmmergemodel.matrixmodelDimsmodelResponsemomentModelmomentStrengthmomFctplotprintprintRestrictquadraREEL_lamresidualsrestModelrhoEELrhoELrhoETrhoETELrhoETHDrhoHDsetCoefshowsolveGelsolveGmmspecTestsubsetsummarysysMomentModelThreeSLStslsupdatevcovvcovHACWu_lam
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Subsetting methods | subset 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 Data | CigarettesSW |
| ~~ 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 estimation | gel4 |
| 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 estimation | gmm4 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 Data | Griliches |
| 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"' classes | kernapply kernapply,momentModel-method kernapply-methods |
| Klein (1950) macro data. | Klein |
| Labour data from Greene (2012) applications, | LabourCR |
| Algorithms to solve for the Lagrange multiplier | EEL_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"' classes | momentModel |
| 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 women | Mroz |
| 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 functions | rhoEEL 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"' classes | sysMomentModel |
| Class '"sysMomentWeights"' | sysMomentWeights-class |
| A guide to estimating systems of equations | systemGmm |
| ~~ 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 |
