[Gmm-commits] r74 - in pkg/gmm: . inst man vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Dec 10 21:38:00 CET 2013
Author: chaussep
Date: 2013-12-10 21:37:59 +0100 (Tue, 10 Dec 2013)
New Revision: 74
Added:
pkg/gmm/vignettes/
pkg/gmm/vignettes/empir.bib
pkg/gmm/vignettes/gmm_with_R.pdf
pkg/gmm/vignettes/gmm_with_R.rnw
Removed:
pkg/gmm/inst/doc/
pkg/gmm/licence
Modified:
pkg/gmm/DESCRIPTION
pkg/gmm/man/bread.Rd
pkg/gmm/man/gel.Rd
pkg/gmm/man/getLamb.Rd
pkg/gmm/man/gmm.Rd
Log:
modified stuff to meet new Cran policies
Modified: pkg/gmm/DESCRIPTION
===================================================================
--- pkg/gmm/DESCRIPTION 2013-06-26 21:16:50 UTC (rev 73)
+++ pkg/gmm/DESCRIPTION 2013-12-10 20:37:59 UTC (rev 74)
@@ -15,5 +15,5 @@
Depends: R (>= 2.10.0), sandwich
Suggests: mvtnorm, car, stabledist, MASS, timeDate, timeSeries
Imports: stats
-License: GPL (>= 2)
+License: GPL (>= 2)
Deleted: pkg/gmm/licence
===================================================================
--- pkg/gmm/licence 2013-06-26 21:16:50 UTC (rev 73)
+++ pkg/gmm/licence 2013-12-10 20:37:59 UTC (rev 74)
@@ -1,7 +0,0 @@
-This software is distributed under the terms of the GNU General Public
-License as published by the Free Software Foundation; either version 2
-of the License, or (at your option) any later version.
-
-A copy of the GNU General Public License is in file COPYING in the
-sources of this package, and is also available at
-http://www.r-project.org/Licenses/
Modified: pkg/gmm/man/bread.Rd
===================================================================
--- pkg/gmm/man/bread.Rd 2013-06-26 21:16:50 UTC (rev 73)
+++ pkg/gmm/man/bread.Rd 2013-12-10 20:37:59 UTC (rev 74)
@@ -52,7 +52,8 @@
}
Dg <- function(tet, x)
{
- jacobian <- matrix(c( 1, 2*(-tet[1]+mean(x)), -3*tet[1]^2-3*tet[2]^2,0, 2*tet[2],-6*tet[1]*tet[2]), nrow=3,ncol=2)
+ jacobian <- matrix(c( 1, 2*(-tet[1]+mean(x)), -3*tet[1]^2-3*tet[2]^2,0, 2*tet[2],
+ -6*tet[1]*tet[2]), nrow=3,ncol=2)
return(jacobian)
}
Modified: pkg/gmm/man/gel.Rd
===================================================================
--- pkg/gmm/man/gel.Rd 2013-06-26 21:16:50 UTC (rev 73)
+++ pkg/gmm/man/gel.Rd 2013-12-10 20:37:59 UTC (rev 74)
@@ -10,10 +10,11 @@
\usage{
gel(g, x, tet0, gradv = NULL, smooth = FALSE, type = c("EL","ET","CUE","ETEL"),
kernel = c("Truncated", "Bartlett"), bw = bwAndrews,
- approx = c("AR(1)", "ARMA(1,1)"), prewhite = 1, ar.method = "ols", tol_weights = 1e-7,
- tol_lam = 1e-9, tol_obj = 1e-9, tol_mom = 1e-9, maxiterlam = 100, constraint = FALSE,
- optfct = c("optim", "optimize", "nlminb"), optlam = c("nlminb", "optim", "iter"), data, Lambdacontrol = list(), model = TRUE,
- X = FALSE, Y = FALSE, TypeGel = "baseGel", alpha = NULL, ...)
+ approx = c("AR(1)", "ARMA(1,1)"), prewhite = 1, ar.method = "ols",
+ tol_weights = 1e-7, tol_lam = 1e-9, tol_obj = 1e-9, tol_mom = 1e-9,
+ maxiterlam = 100, constraint = FALSE, optfct = c("optim", "optimize",
+ "nlminb"), optlam = c("nlminb", "optim", "iter"), data, Lambdacontrol = list(),
+ model = TRUE, X = FALSE, Y = FALSE, TypeGel = "baseGel", alpha = NULL, ...)
}
\arguments{
\item{g}{A function of the form \eqn{g(\theta,x)} and which returns a \eqn{n \times q} matrix with typical element \eqn{g_i(\theta,x_t)} for \eqn{i=1,...q} and \eqn{t=1,...,n}. This matrix is then used to build the q sample moment conditions. It can also be a formula if the model is linear (see details below). }
Modified: pkg/gmm/man/getLamb.Rd
===================================================================
--- pkg/gmm/man/getLamb.Rd 2013-06-26 21:16:50 UTC (rev 73)
+++ pkg/gmm/man/getLamb.Rd 2013-12-10 20:37:59 UTC (rev 74)
@@ -8,8 +8,8 @@
It computes the vector of Lagrange multipliers, which maximizes the GEL objective function, using an iterative Newton method.
}
\usage{
-getLamb(gt, l0, type = c("EL","ET","CUE", "ETEL"), tol_lam = 1e-7, maxiterlam = 100, tol_obj = 1e-7, k = 1,
- method = c("nlminb", "optim", "iter"), control = list())
+getLamb(gt, l0, type = c("EL","ET","CUE", "ETEL"), tol_lam = 1e-7, maxiterlam = 100,
+ tol_obj = 1e-7, k = 1, method = c("nlminb", "optim", "iter"), control = list())
}
\arguments{
\item{gt}{A \eqn{n \times q} matrix with typical element \eqn{g_i(\theta,x_t)}}
Modified: pkg/gmm/man/gmm.Rd
===================================================================
--- pkg/gmm/man/gmm.Rd 2013-06-26 21:16:50 UTC (rev 73)
+++ pkg/gmm/man/gmm.Rd 2013-12-10 20:37:59 UTC (rev 74)
@@ -9,11 +9,14 @@
Function to estimate a vector of parameters based on moment conditions using the GMM method of Hansen(82).
}
\usage{
-gmm(g,x,t0=NULL,gradv=NULL, type=c("twoStep","cue","iterative"), wmatrix = c("optimal","ident"), vcov=c("HAC","iid","TrueFixed"),
-kernel=c("Quadratic Spectral","Truncated", "Bartlett", "Parzen", "Tukey-Hanning"),crit=10e-7,bw = bwAndrews,
-prewhite = FALSE, ar.method = "ols", approx="AR(1)",tol = 1e-7, itermax=100,optfct=c("optim","optimize","nlminb", "constrOptim"),
-model=TRUE, X=FALSE, Y=FALSE, TypeGmm = "baseGmm", centeredVcov = TRUE, weightsMatrix = NULL, traceIter = FALSE, data, eqConst = NULL,
-eqConstFullVcov = FALSE, ...)
+gmm(g,x,t0=NULL,gradv=NULL, type=c("twoStep","cue","iterative"),
+ wmatrix = c("optimal","ident"), vcov=c("HAC","iid","TrueFixed"),
+ kernel=c("Quadratic Spectral","Truncated", "Bartlett", "Parzen", "Tukey-Hanning"),
+ crit=10e-7,bw = bwAndrews, prewhite = FALSE, ar.method = "ols", approx="AR(1)",
+ tol = 1e-7, itermax=100,optfct=c("optim","optimize","nlminb", "constrOptim"),
+ model=TRUE, X=FALSE, Y=FALSE, TypeGmm = "baseGmm", centeredVcov = TRUE,
+ weightsMatrix = NULL, traceIter = FALSE, data, eqConst = NULL,
+ eqConstFullVcov = FALSE, ...)
gmmWithConst(obj, which, value)
}
\arguments{
@@ -237,7 +240,8 @@
# Implementing the jacobian
Dg <- function(tet, x)
{
- jacobian <- matrix(c( 1, 2*(-tet[1]+mean(x)), -3*tet[1]^2-3*tet[2]^2,0, 2*tet[2],-6*tet[1]*tet[2]), nrow=3,ncol=2)
+ jacobian <- matrix(c( 1, 2*(-tet[1]+mean(x)), -3*tet[1]^2-3*tet[2]^2,0, 2*tet[2],
+ -6*tet[1]*tet[2]), nrow=3,ncol=2)
return(jacobian)
}
# Now we want to estimate the two parameters using the GMM.
@@ -299,12 +303,16 @@
res3 <- gmm(z ~ f1 + f2 + f3, ~ f1 + f2 + f3, t0=c(0,1,.5,.5), type="cue", eqConst = c(1,2))
res3
-### Examples with equality constraints, where the constrained coefficients is used to compute the covariance matrix.
-### Useful when some coefficients have been estimated before, they are just identified in GMM and don't need to be re-estimated
-### To use with caution because the covariance won't be valid if the coefficients do not solve the GMM FOC.
+### Examples with equality constraints, where the constrained coefficients is used to compute
+### the covariance matrix.
+### Useful when some coefficients have been estimated before, they are just identified in GMM
+### and don't need to be re-estimated.
+### To use with caution because the covariance won't be valid if the coefficients do not solve
+### the GMM FOC.
######################################
-res4 <- gmm(z ~ f1 + f2 + f3, ~ f1 + f2 + f3, t0=c(0,1,.5,.5), eqConst = c(1,2), eqConstFullVcov=TRUE)
+res4 <- gmm(z ~ f1 + f2 + f3, ~ f1 + f2 + f3, t0=c(0,1,.5,.5), eqConst = c(1,2),
+ eqConstFullVcov=TRUE)
summary(res4)
Added: pkg/gmm/vignettes/empir.bib
===================================================================
--- pkg/gmm/vignettes/empir.bib (rev 0)
+++ pkg/gmm/vignettes/empir.bib 2013-12-10 20:37:59 UTC (rev 74)
@@ -0,0 +1,816 @@
+
+ at article{jagannathan-skoulakis02,
+ AUTHOR={Jagannathan, R. and Skoulakis, G.},
+ TITLE={Generalized Method of Moments: Applications in Finance},
+ JOURNAL={Journal of Business and Economic Statistics},
+ VOLUME={20},
+ PAGES={470-481},
+ YEAR={2002},
+ Number={4}
+ }
+
+ at article{garcia-renault-veredas06,
+ AUTHOR={Garcia, R. and Renault, E. and Veredas, D.},
+ TITLE={Estimation of Stable Distribution by Indirect Inference},
+ JOURNAL={Working Paper: UCL and CORE},
+ VOLUME={},
+ PAGES={},
+ YEAR={2006},
+ Number={}
+ }
+
+ at book{nolan09,
+author = {J. P. Nolan},
+title = {Stable Distributions - Models for Heavy Tailed Data},
+year = {2010},
+publisher = {Birkh\"auser},
+address = {},
+note = {In progress, Chapter 1 online at academic2.american.edu/$\sim$jpnolan}
+}
+
+ @Manual{timeDate,
+ title = {timeDate: Rmetrics - Chronological and Calendarical Objects},
+ author = {Diethelm Wuertz and Yohan Chalabi with contributions from Martin Maechler and Joe W. Byers and others},
+ year = {2009},
+ note = {R package version 2100.86},
+ url = {http://CRAN.R-project.org/package=timeDate},
+ }
+
+ at Manual{timeSeries,
+ title = {timeSeries: Rmetrics - Financial Time Series Objects},
+ author = {Diethelm Wuertz and Yohan Chalabi},
+ year = {2009},
+ note = {R package version 2100.84},
+ url = {http://CRAN.R-project.org/package=timeSeries},
+ }
+
+
+
+ at Book{MASS,
+ title = {Modern Applied Statistics with S},
+ author = {W. N. Venables and B. D. Ripley},
+ publisher = {Springer},
+ edition = {Fourth},
+ address = {New York},
+ year = {2002},
+ note = {ISBN 0-387-95457-0},
+ url = {http://www.stats.ox.ac.uk/pub/MASS4}
+ }
+
+ at book{hall05,
+author = {A. R. Hall},
+title = {Generalized Method of Moments (Advanced Texts in Econometrics)},
+year = {2005},
+publisher = {Oxford University Press},
+address = {},
+}
+
+
+ at Book{wooldridge02,
+author = {Wooldridge, J. M.},
+title = {Econometric Analysis of Cross Section and Panel Data},
+publisher = {Cambridge, MA: MIT Press},
+year = {2002},
+}
+
+ at Book{cochrane01,
+author = {Cochrane, J. H.},
+title = {Asset Pricing},
+publisher = {Princeton University Press},
+year = {2001},
+}
+
+ at article{chausse09,
+ AUTHOR={Chauss\'e, P.},
+ TITLE={Computing Generalized Empirical Likelihood and Generalized Method of Moments with R},
+ JOURNAL={Working Paper, University of Waterloo},
+ VOLUME={},
+ PAGES={},
+ YEAR={2011},
+ Number={}
+ }
+
+
+ at article{smith01,
+ AUTHOR={Smith, R. J.},
+ TITLE={GEL Criteria for Moment Condition Models},
+ JOURNAL={Working Paper, University of Bristol},
+ VOLUME={},
+ PAGES={},
+ YEAR={2001},
+ Number={}
+ }
+
+
+
+ at article{chausse08,
+ AUTHOR={Chauss\'e, P.},
+ TITLE={Generalized Emprical Likelihood for a Continuum of Moment Conditons},
+ JOURNAL={Working Paper, University of Waterloo},
+ VOLUME={},
+ PAGES={},
+ YEAR={2011},
+ Number={}
+ }
+
+ at Book{campbell-lo-mackinlay96,
+author = {Campbell, J. Y. and Lo, A. W. and Mackinlay, A. C.},
+title = {The Econometrics of Financial Markets},
+publisher = {Princeton University Press},
+year = {1996},
+}
+
+ at article{newey-west94,
+ AUTHOR={Newey, W. K. and West, K. D.},
+ TITLE={Automatic Lag Selection in Covariance Matrix Estimation},
+ JOURNAL={Review of Economic Studies},
+ VOLUME={61},
+ PAGES={631-653},
+ YEAR={1994},
+ Number={}
+ }
+
+
+ at article{andrews-monahan92,
+ AUTHOR={Andrews, W. K. and Monahan, J. C.},
+ TITLE={An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator},
+ JOURNAL={Econometrica},
+ VOLUME={60},
+ PAGES={953-966},
+ YEAR={1992},
+ Number={4}
+ }
+
+ at Book{white84,
+author = {White, H.},
+title = {Asymptotic Theory for Econometricians},
+publisher = {Academic Press},
+year = {1984},
+}
+
+ at Book{gallant87,
+author = {Gallant, A. R.},
+title = {Nonlinear Statistical Models},
+publisher = {Wiley},
+year = {1987},
+}
+
+ at article{zeileis06,
+ AUTHOR={Zeileis, A.},
+ TITLE={Object-oriented Computation of Sandwich Estimator},
+ JOURNAL={Journal of Statistical Software},
+ VOLUME={16},
+ PAGES={1-16},
+ YEAR={2006},
+ Number={9},
+ url={http://www.jstatsoft.org/v16/i09/}
+ }
+
+ at article{chausse10,
+ title = {Computing Generalized Method of Moments and Generalized Empirical Likelihood with R},
+ author = {Pierre Chauss{\'e}},
+ journal = {Journal of Statistical Software},
+ year = {2010},
+ volume = {34},
+ number = {11},
+ pages = {1-35},
+ url = {http://www.jstatsoft.org/v34/i11/}
+}
+
+ at article{zeileis04,
+ AUTHOR={Zeileis, A.},
+ TITLE={Econometric Computing with HC and HAC Covariance Matrix Estimators},
+ JOURNAL={Journal of Statistical Software},
+ VOLUME={11},
+ PAGES={1-17},
+ YEAR={2004},
+ Number={10},
+ url={http://www.jstatsoft.org/v11/i10/}
+ }
+
+ at Book{luenberger97,
+author = {Luenberger, D. G.},
+title = {Optimization by Vector Space Methods},
+publisher = {Wiley and Sons},
+year = {1997},
+}
+
+ at article{smith04,
+ AUTHOR={Smith, R. J.},
+ TITLE={GEL Criteria for Moment Condition Models},
+ JOURNAL={CeMMAP working papers, Institute for Fiscal Studies},
+ VOLUME={},
+ PAGES={},
+ YEAR={2004},
+ Number={}
+ }
+
+ at article{kitamura-tripathi-ahn04,
+ AUTHOR={Kitamura, Y. and Tripathi, G. and Ahn, H.},
+ TITLE={Empirical Likelihood-Based Inference in Conditional Moment Restriction Models},
+ JOURNAL={Econometrica},
+ VOLUME={72},
+ PAGES={1667-1714},
+ YEAR={2004},
+ Number={}
+ }
+
+ at article{blaschke-neubauer-scherzer97,
+ AUTHOR={Blaschke, B. and Neubauer, A. and Scherzer, O.},
+ TITLE={On the Convergence Rates for the Iteratively Regularized Gauss-Newton Method},
+ JOURNAL={IMA Journal of Numerical Analysis},
+ VOLUME={17},
+ PAGES={421-436},
+ YEAR={1997},
+ Number={}
+ }
+
+ at article{carrasco-florens-renault07,
+ AUTHOR={Carrasco, M. and Florens, J. P. and Renault, E.},
+ TITLE={Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization},
+ JOURNAL={Handbook of Econometrics},
+ VOLUME={6B},
+ PAGES={5633-5751},
+ YEAR={2007},
+ Number={}
+ }
+
+
+ at article{donald-imbens-newey03,
+ AUTHOR={Donald, S. and Imbens, G. and Newey, W. K.},
+ TITLE={Empirical Likelihood Estimation and Consistent Tests with Conditional Moment Restrictions},
+ JOURNAL={Journal of Econometrics},
+ VOLUME={117},
+ PAGES={55-93},
+ YEAR={2003},
+ Number={}
+ }
+
+ at article{carrasco07,
+ AUTHOR={Carrasco, M.},
+ TITLE={A Regularization Approach to the Many Instruments Problem},
+ JOURNAL={Forthcoming in the Journal of Econometrics},
+ VOLUME={},
+ PAGES={},
+ YEAR={2009},
+ Number={}
+ }
+
+ at article{parzen70,
+ AUTHOR={Parzen, E.},
+ TITLE={Statistical inference on time series by RKHS methods},
+ JOURNAL={Canadian Mathematical Congress},
+ VOLUME={Edited by R. Pyke},
+ PAGES={1-37},
+ YEAR={1970},
+ Number={}
+ }
+
+ at article{qi-nian00,
+ AUTHOR={Qi-Nian, J.},
+ TITLE={On the Iterative Regularized Gauss-Newton Method for Solving Nonlinear Ill-posed Problem},
+ JOURNAL={Mathematics of Computation},
+ VOLUME={69},
+ PAGES={1603-1623},
+ YEAR={2000},
+ Number={232}
+ }
+
+ at article{schennach07,
+ AUTHOR={Schennach, S. M.},
+ TITLE={Point Estimation with Exponentially Tilted Empirical Likelihood},
+ JOURNAL={Econometrica},
+ VOLUME={35},
+ PAGES={634-672},
+ YEAR={2007},
+ Number={2}
+ }
+
+ at article{guggenberger08,
+ AUTHOR={Guggenberger, P.},
+ TITLE={Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator},
+ JOURNAL={Econometric Reviews},
+ VOLUME={26},
+ PAGES={526-541},
+ YEAR={2008},
+ Number={}
+ }
+
+
+ at article{guggenberger-hahn05,
+ AUTHOR={Guggenberger, P. and Hahn, J.},
+ TITLE={Finite Sample Properties of the Two-Step Empirical Likelihood Estimator},
+ JOURNAL={Econometric Reviews},
+ VOLUME={24},
+ PAGES={247-263},
+ YEAR={2005},
+ Number={3}
+ }
+
+
+ at article{groetsch93,
+ AUTHOR={Groetsch, C.},
+ TITLE={Inverse Problems in Mathematical Sciences},
+ JOURNAL={Wiesbaden: Vieweg},
+ VOLUME={},
+ PAGES={},
+ YEAR={1993}
+ }
+
+ at article{carrasco-florents00,
+ AUTHOR={Carrasco, M. and Florens, J. P.},
+ TITLE={Generalization of GMM to a Continuum of Moment Conditions},
+ JOURNAL={Econometric Theory},
+ VOLUME={16},
+ PAGES={655-673},
+ YEAR={2000}
+ }
+
+ at article{carrasco-florens00,
+ AUTHOR={Carrasco, M. and Florens, J. P.},
+ TITLE={Generalization of GMM to a Continuum of Moment Conditions},
+ JOURNAL={Econometric Theory},
+ VOLUME={16},
+ PAGES={655-673},
+ YEAR={2000}
+ }
+
+ at article{carrasco-florens02,
+ AUTHOR={Carrasco, M. and Florens, J. P.},
+ TITLE={Efficient GMM Estimation Using the Empirical Characteristic Function},
+ JOURNAL={Working Paper, Institut d'Économie Industrielle, Toulouse},
+ VOLUME={},
+ PAGES={},
+ YEAR={2002}
+ }
+
+ at article{anatolyev05,
+ AUTHOR={Anatolyev, S.},
+ TITLE={GMM, GEL, Serial Correlation, and Asymptotic Bias},
+ JOURNAL={Econometrica},
+ VOLUME={73},
+ PAGES={983-1002},
+ YEAR={2005}
+ }
+
+ at article{hansen82,
+ AUTHOR={Hansen, L. P.},
+ TITLE={Large Sample Properties of Generalized Method of Moments Estimators},
+ JOURNAL={Econometrica},
+ VOLUME={50},
+ PAGES={1029-1054},
+ YEAR={1982}
+ }
+
+ at article{hansen-heaton-yaron96,
+ AUTHOR={Hansen, L. P. and Heaton, J. and Yaron, A.},
+ TITLE={Finit-Sample Properties of Some Alternative GMM Estimators},
+ JOURNAL={Journal of Business and Economic Statistics},
+ VOLUME={14},
+ PAGES={262-280},
+ YEAR={1996}
+ }
+
+
+ at article{pakes-pollard89,
+ AUTHOR={Pakes, A. and Pollard, D.},
+ TITLE={Simulation and the Asymptotics of Optimization Estimators},
+ JOURNAL={Econometrica},
+ VOLUME={57},
+ PAGES={1027-1057},
+ YEAR={1989}
+ }
+
+ at article{imbens02,
+ NUMBER={4},
+ AUTHOR={Imbens, G. W.},
+ TITLE={Generalized Method of Moments and Empirical Likelihood},
+ JOURNAL={Journal of Business and Economic Statistics},
+ VOLUME={20},
+ PAGES={493-506},
+ YEAR={2002}
+ }
+
+ @article{imbens97,
+ AUTHOR={Imbens, G. W.},
+ TITLE={One-Step Estimators for Over-Identified Generalized Method of Moments Models},
+ JOURNAL={Review of Economics Studies},
+ VOLUME={64},
+ PAGES={359-383},
+ YEAR={1997}
+ }
+
+
+ @article{smith97,
+ AUTHOR={Smith, R. J.},
+ TITLE={Alternative Semi-Parametric Likelihood Approaches to Generalized Method of Moments Estimation},
+ JOURNAL={The Economic Journal},
+ VOLUME={107},
+ PAGES={503-519},
+ YEAR={1997}
+ }
+
+
+ at article{newey-smith04,
+author = {Newey, W. K. and Smith, R. J.},
+title = {Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators},
+ JOURNAL={Econometrica},
+ VOLUME={72},
+ PAGES={219-255},
+YEAR={2004}
+}
+
+
+ at article{kitamura97,
+ NUMBER={5},
+ AUTHOR={Kitamura, Y.},
+ TITLE={Empirical Likelihood Methods With Weakly Dependent Processes},
+ JOURNAL={The Annals of Statistics},
+ VOLUME={25},
+ PAGES={2084-2102},
+ YEAR={1997}
+ }
+
+ at article{kitamura-stutzer97,
+ NUMBER={5},
+ AUTHOR={Kitamura, Y. and Stutzer, M.},
+ TITLE={An Information-Theoretic Alternative to Generalized Method of Moments Estimation},
+ JOURNAL={Econometrica},
+ VOLUME={65},
+ PAGES={861-874},
+ YEAR={1997}
+ }
+
+
+ at article{owen88,
+ NUMBER={},
+ AUTHOR={Owen, A. B.},
+ TITLE={Empirical Likelihood Ratio Confidence Intervals for a Single Functional},
+ JOURNAL={Biometrika},
+ VOLUME={75},
+ PAGES={237-249},
+ YEAR={1988}
+ }
+
+ at article{singleton01,
+ NUMBER={102},
+ AUTHOR={Singleton, K.},
+ TITLE={Estimation of Affine Pricing Models Using the Empirical Characteristic Function},
+ JOURNAL={Journal of Econometrics},
+ VOLUME={},
+ PAGES={111-141},
+ YEAR={2001}
+ }
+
+
+ at Book{owen01,
+author = {Owen, A. B.},
+publisher = {Chapman and Hall},
+title = {Empirical Likelihood},
+year = {2001},
+}
+
+ at article{carrasco-chernov-florens-ghysels07,
+NUMBER={140},
+AUTHOR = {Carrasco, M. and Chernov, M. and Florens, J. P. and Ghysels, E.},
+TITLE = {Efficient of General Dynamic Models with Continuun of Moment Conditions},
+JOURNAL = {Journal of Econometrics},
+VOLUME={},
+PAGES={529-573},
+YEAR={2007}
+}
+
+ at Unpublished{Bindelli05,
+author = {Bindelli, L.},
+title = {Testing the New Keynesian Phillips Curve: a Frequency Domain Approach},
+note = {Université de Lausanne. Dernière version: 2005},
+OPTkey = {},
+OPTmonth = {},
+OPTyear = {},
+YEAR={2005},
+OPTannote = {}
+}
+
+ at article{chamberlain87,
+ NUMBER={},
+ AUTHOR={Chamberlain, G.},
+ TITLE={Asymptotic Efficiency in Estimation with Conditional Moment Restrictions},
+ JOURNAL={Journal of Econometrics},
+ VOLUME={34},
+ PAGES={304-334},
+ YEAR={1987}
+ }
+
+ @article{nelson90,
+ NUMBER={},
+ AUTHOR={Nelson, D.},
+ TITLE={ARCH Models as Diffusion Approximations},
+ JOURNAL={Journal of Econometrics},
+ VOLUME={45},
+ PAGES={7-38},
+ YEAR={1990}
+ }
+
+ @article{hull-white87,
+ NUMBER={},
+ AUTHOR={Hull, J. and White, A.},
+ TITLE={The Pricing of Options on Assets with Stochastic Volatilities},
+ JOURNAL={Journal of Finance},
+ VOLUME={42},
+ PAGES={281-300},
+ YEAR={1987}
+ }
+
+ @article{nowman97,
+ NUMBER={},
+ AUTHOR={Nowman, K.},
+ TITLE={Gaussian estimation of single-factor continuous time models of the term structure of interest rate},
+ JOURNAL={Journal of Finance},
+ VOLUME={52},
+ PAGES={1695-1703},
+ YEAR={1997}
+ }
+
+ @article{yu-phillips01,
+ NUMBER={},
+ AUTHOR={Yu, J. and Phillips, P. C. B.},
+ TITLE={Gaussian estimation of continuous time models of the short term structure of interest rate},
+ JOURNAL={Cowles Foundation Discussion Paper},
+ VOLUME={1309},
+ PAGES={},
+ YEAR={2001}
+ }
+
+ @article{bandi-phillips03,
+ NUMBER={},
+ AUTHOR={Bandi, F. M. and Phillips, P. C. B.},
+ TITLE={Fully nonparametric estimation of scalar diffusion models},
+ JOURNAL={Econometrica},
+ VOLUME={71},
+ PAGES={241-283},
+ YEAR={2003}
+}
+
+ @article{qin-lawless94,
+ NUMBER={1},
+ AUTHOR={Qin, J. and Lawless, J.},
+ TITLE={Empirical Likelihood and General Estimating Equation},
+ JOURNAL={The Annals of Statistics},
+ VOLUME={22},
+ PAGES={300-325},
+ YEAR={1994}
+}
+
+ @Manual{gmm,
+ title = {gmm: Generalized Method of Moments and Generalized Empirical Likelihood},
+ author = {Pierre Chausse},
+ year = {2009},
+ note = {R package version 1.4-0},
+ }
+ @Manual{fBasics,
+ title = {fBasics: Rmetrics - Markets and Basic Statistics},
+ author = {Diethelm Wuertz},
+ year = {2009},
+ note = {R package version 2100.78},
+ url = {http://CRAN.R-project.org/package=fBasics},
+ }
+ @Manual{stabledist,
+ title = {stabledist: Stable Distribution Functions},
+ author = {Diethelm Wuertz and Martin Maechler and Rmetrics core team members.},
+ year = {2012},
+ note = {R package version 0.6-4},
+ url = {http://CRAN.R-project.org/package=stabledist},
+ }
+
+ @Manual{mvtnorm,
+ title = {mvtnorm: Multivariate Normal and t Distributions},
+ author = {Alan Genz and Frank Bretz and Tetsuhisa Miwa and Xuefei Mi and Friedrich Leisch and Fabian Scheipl and Torsten Hothorn},
+ year = {2009},
+ note = {R package version 0.9-8},
+ url = {http://CRAN.R-project.org/package=mvtnorm},
+ }
+
+ @Article{plm,
+ title = {Panel Data Econometrics in {R}: The {plm} Package},
+ author = {Yves Croissant and Giovanni Millo},
+ journal = {Journal of Statistical Software},
+ year = {2008},
+ volume = {27},
+ number = {2},
+ url = {http://www.jstatsoft.org/v27/i02/},
+ }
+ @Manual{car,
+ title = {car: Companion to Applied Regression},
+ author = {John Fox},
+ year = {2009},
+ note = {R package version 1.2-16},
+ url = {http://CRAN.R-project.org/package=car},
+ }
+
+
+
+
+
+
+ @article{diciccio-hall-romano91,
+ NUMBER={2},
+ AUTHOR={DiCiccio, T. and Hall, P. and Romano, J.},
+ TITLE={Empirical Likelihood is Bartlett-Correctable},
+ JOURNAL={The Annals of Statistics},
+ VOLUME={19},
+ PAGES={1053-1061},
+ YEAR={1991}
+}
+
+ @article{ramlau-teschke05,
+ NUMBER={},
+ AUTHOR={Ramlau, R. and Teschke, G.},
+ TITLE={Tikhonov Replacement Functionals for Iteratively Solving Nonlinear Operator Equations},
+ JOURNAL={Inverse Problems},
+ VOLUME={21},
+ PAGES={1571-1592},
+ YEAR={2005}
+}
+
+ @article{brown-newey02,
+ AUTHOR={Brown, B. and Newey, W. K.},
+ TITLE={Generalized Method of Moments, Efficiency Bootsrapping, and Improved Inference},
+ JOURNAL={Journal of Business and Economic Statistics},
+ VOLUME={20},
+ PAGES={507-517},
+ YEAR={2002}
+}
+
+ at article{newey-west87a,
+ AUTHOR={Newey, W. K. and West, K. D.},
+ TITLE={A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix},
+ JOURNAL={Econometrica},
+ VOLUME={55},
+ PAGES={703-708},
+ YEAR={1987}
+}
+
+ at article{andrews91,
+ AUTHOR={Andrews, D. W. K.},
+ TITLE={Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation},
+ JOURNAL={Econometrica},
+ VOLUME={59},
+ PAGES={817-858},
+ YEAR={1991}
+}
+
+ at article{chesher-smith97,
+ AUTHOR={Chesher, A. and Smith, R. J.},
+ TITLE={Likelihood Ratio Specification Tests},
+ JOURNAL={Econometrica},
+ VOLUME={65},
+ PAGES={627-646},
+ YEAR={1997}
+}
+
+ at article{horowitz02,
+ AUTHOR={Horowitz, J.},
+ TITLE={The Bootstrap in Econometrics},
+ JOURNAL={Handbook of Econometrics},
+ VOLUME={Vol. 5 eds. J. Heckman and E. Leamer, Amsterdam: North Holland},
+ YEAR={2002}
+}
+
+ at article{imbens-spady-johnson98,
+ AUTHOR={Imbens, G. W. and Spady, R. H. and Johnson, P.},
+ TITLE={Information Theoretic Approaches to Inference in Moment Condition Models},
+ JOURNAL={Econometrica},
+ VOLUME={66},
+ PAGES={333-357},
+ YEAR={1998}
+}
+
+ at article{hullwhite87,
+ NUMBER={},
+ AUTHOR={Hull, J. and White, A.},
+ TITLE={The Pricing of Options on Assets with Stochastic Volatilities},
+ JOURNAL={Journal of Finance},
+ VOLUME={42},
+ PAGES={281-300},
+ YEAR={1987}
+ }
+
+
+ @article{yu-phillips01,
+ NUMBER={},
+ AUTHOR={Yu, J. and Phillips, P. C. B.},
+ TITLE={Gaussian estimation of continuous time models of the short term structure of interest rate},
+ JOURNAL={Cowles Foundation Discussion Paper},
+ VOLUME={1309},
+ PAGES={},
+ YEAR={2001}
+ }
+
+ @article{li-he05,
+ NUMBER={4},
+ AUTHOR={Li, K. and He, Y.},
+ TITLE={Taylor Expansion Algorithme for the Branching Solution of the Navier-Stokes Equations},
+ JOURNAL={International Journal Numerical Analysis and Modeling},
+ VOLUME={2},
+ PAGES={459-478},
+ YEAR={2005}
+ }
+
+
+ @article{ramm04,
+ NUMBER={N2},
+ AUTHOR={Ramm, A. G.},
+ TITLE={Dynamical systems method for solving operator equations},
+ JOURNAL={Comm. Nonlinear Sci. and Numer. Simul.},
+ VOLUME={9},
+ PAGES={383-402},
+ YEAR={2004a}
+ }
+
+ @article{airapetyan-ramm00,
+ NUMBER={},
+ AUTHOR={Airayetpan, R. G. and Ramm, A. G.},
+ TITLE={Dynamical systems and Discrete Methods for Solving Nonlinear Ill-posed Problem},
+ JOURNAL={Applied Mathematics Review},
+ VOLUME={1},
+ PAGES={491-536},
+ YEAR={2000}
+ }
+
+ @article{ramm04-2,
+ NUMBER={},
+ AUTHOR={Ramm, A. G.},
+ TITLE={Dynamical systems method for solving nonlinear operator equations},
+ JOURNAL={Int. J. Appl. Math. Sci.},
+ VOLUME={1},
+ PAGES={97-110},
+ YEAR={2004b}
+ }
+
+ at article{jin00,
+ NUMBER={232},
+ AUTHOR={Jin, Q. N.},
+ TITLE={On the Iteratively Regularized Gauss-Newton Method for solving nonlinear Ill-Posed Problems},
+ JOURNAL={Mathematics of Computation},
+ VOLUME={69},
+ PAGES={1603-1623},
+ YEAR={2000}
+ }
+
+ at article{watson93,
+ NUMBER={6},
+ AUTHOR={Watson, M. W.},
+ TITLE={Measures of Fit for Calibrated Models},
+ JOURNAL={The Journal of Political Economy},
+ VOLUME={101},
+ PAGES={1011-1041},
+ YEAR={1993}
+ }
+
+ at article{diebold-ohanian-berkowitz98,
+ NUMBER={},
+ AUTHOR={Diebold, F. X. and Ohanian, L. E. and Berkowitz, J.},
+ TITLE={Dynamic Equilibrium Economies: A Framework for Comparing Models and Data},
+ JOURNAL={Review of Economic Studies},
+ VOLUME={65},
+ PAGES={433-451},
+ YEAR={1998}
+ }
+
+ at article{Berkowitz01,
+ NUMBER={},
+ AUTHOR={Berkowitz, J.},
+ TITLE={Generalized Spectral Estimation of the Consumption based Pricing Model},
+ JOURNAL={Journal of Econometrics},
+ VOLUME={104},
+ PAGES={269-288},
+ YEAR={2001}
+ }
+
+ at article{christiano-vigfusson03,
+ NUMBER={4},
+ AUTHOR={Christiano, J. L. and Vigfusson, R. J.},
+ TITLE={Maximum Likelihood in the Frequency Domain: The Importance of Time-to-Plan},
+ JOURNAL={Journal of Monetary Economics},
+ VOLUME={50},
+ PAGES={},
+ YEAR={2003}
+ }
+
+
+ at article{seidman-vogel89,
+ NUMBER={},
+ AUTHOR={Seidman, T. I. and Vogel, C. R.},
+ TITLE={Well Posedness and Convergence of some Regularisation Methods for Non-linear Ill-posed Problems},
+ JOURNAL={Inverse Problems},
+ VOLUME={5},
+ PAGES={227-238},
+ YEAR={1989}
+ }
+
+ at Book{hamilton94,
+author = {Hamilton, J. D.},
+publisher = {Princeton University Press},
+title = {Time Series Analysis},
+year = {1994},
+}
Added: pkg/gmm/vignettes/gmm_with_R.pdf
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+ application/octet-stream
Added: pkg/gmm/vignettes/gmm_with_R.rnw
===================================================================
--- pkg/gmm/vignettes/gmm_with_R.rnw (rev 0)
+++ pkg/gmm/vignettes/gmm_with_R.rnw 2013-12-10 20:37:59 UTC (rev 74)
@@ -0,0 +1,809 @@
+\documentclass[article, nojss]{jss}
+
+\newtheorem{theorem}{Theorem}
+\newtheorem{col}{Corollary}
+\newtheorem{lem}{Lemma}
+\newtheorem{ass}{Assumption}
+
+\usepackage[active]{srcltx}
+\usepackage{amsmath}
+\usepackage{amsfonts}
+\usepackage{amssymb}
+\usepackage{ucs}
+\usepackage[utf8x]{inputenc}
+%% need no \usepackage{Sweave.sty}
+\SweaveOpts{keep.source=TRUE}
+
+\author{Pierre Chauss\'e}
+\title{Computing Generalized Method of Moments and Generalized Empirical Likelihood with \proglang{R}}
+\Plainauthor{Pierre Chauss\'e}
+\Plaintitle{Computing Generalized Method of Moments and Generalized Empirical Likelihood with R}
+\Shorttitle{GMM and GEL with R}
+
+\Abstract{This paper shows how to estimate models by the generalized method of moments and the generalized empirical likelihood using the \proglang{R} package \pkg{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. It is a modified version of \cite{chausse10} published in the Journal of Statistical Software. It has been adapted to the version 1.4-0.
+}
+\Keywords{generalized empirical likelihood, generalized method of moments, empirical likelihood, continuous updated estimator, exponential tilting, exponentially tilted empirical likelihood, \proglang{R}}
+\Plainkeywords{generalized empirical likelihood, generalized method of moments, empirical likelihood, continuous updated estimator, exponential tilting, exponentially tilted empirical likelihood, R}
+
+\Address{
+ Pierre Chaus\'e\\
+ Department of Economics\\
+ University of Waterloo\\
+ Waterloo (Ontario), Canada\\
+ E-mail: \email{pierre.chausse at uqam.ca}\\
+ URL: \url{http://www.er.uqam.ca/nobel/k34115/}
+}
+\begin{document}
+
+\SweaveOpts{engine=R,eps=FALSE}
+%\VignetteIndexEntry{Computing Generalized Empirical Likelihood and Generalized Method of Moments with R}
+%\VignetteDepends{gmm,mvtnorm,stabledist, car, MASS, timeDate, timeSeries}
+%\VignetteKeywords{generalized empirical likelihood, generalized method of moments, empirical likelihood, continuous updated estimator, exponential tilting, exponentially tilted empirical likelihood}
+%\VignettePackage{gmm}
+
+\newcommand\R{ \mathbb{R} }
+\newcommand\C{ \mathbb{C} }
+\newcommand\rv{{\cal R}}
+
+\section{Introduction}
+
+The generalized method of moments (GMM) has become an important estimation procedure in many areas of applied economics and finance since \cite{hansen82} introduced the two step GMM (2SGMM). It can be seen as a generalization of many other estimation methods like least squares (LS), instrumental variables (IV) or maximum likelihood (ML). As a result, it is less likely to be misspecified. The properties of the estimators of LS depend on the exogeneity of the regressors and the circularity of the residuals, while those of ML depend on the choice of the likelihood function. GMM is much more flexible since it only requires some assumptions about moment conditions. In macroeconomics, for example, it allows to estimate a structural model equation by equation. In finance, most data such as stock returns are characterized by heavy-tailed and skewed distributions. Because it does not impose any restriction on the distribution of the data, GMM represents a good alternative in this area as well. As a result of its popularity, most statistical packages like \proglang{Matlab}, \proglang{Gauss} or \proglang{Stata} offer tool boxes to use the GMM procedure. It is now possible to easily use this method in \proglang{R} with the new \pkg{gmm} package.
+
+Although GMM has good potential theoretically, several applied studies have shown that the properties of the 2SGMM may in some cases be poor in small samples. In particular, the estimators may be strongly biased for certain choices of moment conditions. In response to this result, \cite{hansen-heaton-yaron96} proposed two other ways to compute GMM: the iterative GMM (ITGMM) and the continuous updated GMM (CUE)\footnote{See also \cite{hall05} for a detailed presentation of most recent developments regarding GMM.}. Furthermore, another family of estimation procedures inspired by \cite{owen01}, which also depends only on moment conditions, was introduced by \cite{smith97}. It is the generalized empirical likelihood (GEL). So far, this method has not reached the popularity of GMM and it was not included in any statistical package until \pkg{gmm} was developed for \proglang{R} which also includes a GEL procedure.
+
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