Computing Generalized Method of Moments and Generalized Empirical Likelihood with R
AbstractThis 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.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Statistical Software.
Volume (Year): 34 ()
Issue (Month): i11 ()
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