Computing generalized method of moments and generalized empirical likelihood with R

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Abstract

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.

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APA

Chaussé, P. (2010). Computing generalized method of moments and generalized empirical likelihood with R. Journal of Statistical Software, 34(11), 1–35. https://doi.org/10.18637/jss.v034.i11

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