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

共 41 条

[11]

Fox John., 2009, car: Companion to Applied Regression

[12]

Gallant AR., 1987, NONLINEAR STAT MODEL

[13]

Garcia R., 2006, Estimation of Stable Distribution by Indirect Inference

[14]

Genz A., 2009, MVTNORM MULTIVARIATE

[15] Finite sample properties of the two-step empirical likelihood estimator [J].

Guggenberger, P ;

Hahn, J .

ECONOMETRIC REVIEWS, 2005, 24 (03) :247-263

[16] Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator [J].

Guggenberger, Patrik .

ECONOMETRIC REVIEWS, 2008, 27 (4-6) :526-541

[17]

Hall A.R., 2005, Generalized Method of Moments

[18]

Hamilton J. D., 2020, TIME SERIES ANAL

[19] LARGE SAMPLE PROPERTIES OF GENERALIZED-METHOD OF MOMENTS ESTIMATORS [J].

HANSEN, LP .

ECONOMETRICA, 1982, 50 (04) :1029-1054

[20] Finite-sample properties of some alternative GMM estimators [J].

Hansen, LP ;

Heaton, J ;

Yaron, A .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1996, 14 (03) :262-280

← 1 2 3 4 5 →