May 26, 2018

Generalized Method of Moments and Generalized Empirical Likelihood

It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments GMM of Hansen1982, the iterated GMM and continuous updated estimator CUE of Hansen-Eaton-Yaron1996 and several methods that belong to the Generalized Empirical Likelihood GEL family of estimators, as presented by Smith1997, Kitamura1997, Newey-Smith2004 and Anatolyev2005.

WWW https//