Computing Generalized Method of Moments and Generalized Empirical Likelihood with R

被引：0

作者：

Chausse, Pierre ^{[1
]}

机构：

[1] Univ Quebec, Dept Sci Econ, Montreal, PQ H3C 3P8, Canada

来源：

JOURNAL OF STATISTICAL SOFTWARE | 2010年 / 34卷 / 11期

关键词：

generalized empirical likelihood; generalized method of moments; empirical likelihood; continuous updated estimator; exponential tilting; exponentially tilted empirical likelihood; R; FINITE-SAMPLE PROPERTIES; GMM; HETEROSKEDASTICITY;

D O I：

暂无

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

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.

引用

页码：1 / 35

页数：35

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