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>). Some work is being
done to add tools to deal with weak and/or many instruments.
This includes K-Class estimators (Limited Information Maximum
Likelihood and Fuller), Anderson and Rubin statistic test, etc.
