January 7, 2013
Short Course |
R Package |
Class Examples |
This is a
short course on using
R put together by Chris Green
(PhD student in UW stat dept).
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
Hansen(1982), the iterated GMM and continuous updated estimator (CUE) of
Hansen-Eaton-Yaron (1996) and several methods that belong to the
Generalized Empirical Likelihood (GEL) family of estimators, as
presented by Smith (1997), Kitamura (1997), Newey-Smith(2004) and
Linear models for panel data. A set of estimators and tests for panel
The following script files are
used to create the examples used in class and presented in the class
Multiple Equation Linear GMM
The following R
packages will be used in class:
Time series analysis and computational finance
Time series analysis.
Extensible time series
Multivariate normal and multivariate t distribution.
Bootstrap R Functions.