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.
CITATION STYLE
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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