Computing Generalized Method of Moments and Generalized Empirical Likelihood with R

Journal of Statistical Software

关键词: generalized empirical likelihood;    generalized method of moments;    empirical likelihood;    continuous updated estimator;    exponential tilting;    exponentially tilted empirical likelihood;    R;   

DOI  :  

来源: DOAJ

【 摘 要 】

This paper shows how to estimate models by the generalized method of moments and the generalized empirical likelihood using the R package gmm. A brief discussion is offered on the theoretical aspects of both methods and the functionality of the package is presented through several examples in economics and finance.

【 授权许可】

Unknown