[Gmm-commits] r143 - in pkg: . causalGel causalGel/R causalGel/data causalGel/man causalGel/vignettes gmm4 gmm4/R gmm4/man gmm4/src
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Oct 17 22:19:29 CEST 2019
Author: chaussep
Date: 2019-10-17 22:19:29 +0200 (Thu, 17 Oct 2019)
New Revision: 143
Added:
pkg/causalGel/
pkg/causalGel/DESCRIPTION
pkg/causalGel/NAMESPACE
pkg/causalGel/NEWS
pkg/causalGel/R/
pkg/causalGel/R/allClasses.R
pkg/causalGel/R/causalGel.R
pkg/causalGel/R/causalMethods.R
pkg/causalGel/data/
pkg/causalGel/data/nsw.rda
pkg/causalGel/man/
pkg/causalGel/man/causalData-class.Rd
pkg/causalGel/man/causalDmomFct-methods.Rd
pkg/causalGel/man/causalGel-class.Rd
pkg/causalGel/man/causalModel.Rd
pkg/causalGel/man/causalMomFct-methods.Rd
pkg/causalGel/man/nsw.Rd
pkg/causalGel/vignettes/
pkg/causalGel/vignettes/causal.bib
pkg/causalGel/vignettes/causalGel.Rnw
pkg/causalGel/vignettes/causalGel.pdf
pkg/gmm4/NEWS
pkg/gmm4/src/
pkg/gmm4/src/Makevars
pkg/gmm4/src/gmm4.h
pkg/gmm4/src/lambda_met.f
pkg/gmm4/src/src.c
Modified:
pkg/gmm4/DESCRIPTION
pkg/gmm4/NAMESPACE
pkg/gmm4/R/gel.R
pkg/gmm4/R/gmmModel.R
pkg/gmm4/R/validity.R
pkg/gmm4/man/evalModel-methods.Rd
pkg/gmm4/man/lambdaAlgo.Rd
pkg/gmm4/man/rhoFct.Rd
pkg/gmm4/man/solveGel-methods.Rd
Log:
adding the first draft of the package causalGel and adding fortran source codes for some algorithm in gmm4
Added: pkg/causalGel/DESCRIPTION
===================================================================
--- pkg/causalGel/DESCRIPTION (rev 0)
+++ pkg/causalGel/DESCRIPTION 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,17 @@
+Package: causalGel
+Version: 0.0-1
+Date: 2019-10-16
+Title: Causal Inference using Generalized Empirical
+ Likelihood Methods
+Author: Pierre Chausse <pchausse at uwaterloo.ca>
+Maintainer: Pierre Chausse <pchausse at uwaterloo.ca>
+Description: Methods for causal inference in which covariates are balanced using generalized empirical likelihod methods.
+Depends: R (>= 3.0.0), gmm4
+Imports: stats, methods
+Suggests: lmtest, knitr, texreg
+Collate: 'allClasses.R' 'causalMethods.R' 'causalGel.R'
+License: GPL (>= 2)
+NeedsCompilation: no
+VignetteBuilder: knitr
+
+
Added: pkg/causalGel/NAMESPACE
===================================================================
--- pkg/causalGel/NAMESPACE (rev 0)
+++ pkg/causalGel/NAMESPACE 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,19 @@
+import("gmm4")
+
+importFrom("stats", "lm", "model.response", "terms")
+
+importFrom("methods", is, new, show, "slot<-", "slotNames", "validObject",
+ "getClassDef", "selectMethod", "callNextMethod", "as", "setAs",
+ "getMethod")
+
+### S4 Methods and Classes
+exportClasses()
+
+exportClasses("causalData", "causalGel")
+
+exportMethods("causalMomFct", "causalDmomFct")
+
+export("causalModel")
+
+
+
Added: pkg/causalGel/NEWS
===================================================================
Added: pkg/causalGel/R/allClasses.R
===================================================================
--- pkg/causalGel/R/allClasses.R (rev 0)
+++ pkg/causalGel/R/allClasses.R 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,16 @@
+##### All S4 classes of the package are defined here
+######################################################
+
+
+## Causal Model Classes
+
+setClass("causalGel", contains="functionGel")
+
+setClass("causalData", representation(momType="character",
+ popMom="numericORNULL",
+ ACTmom="integer",
+ reg="data.frame",
+ bal="data.frame"))
+
+
+
Added: pkg/causalGel/R/causalGel.R
===================================================================
--- pkg/causalGel/R/causalGel.R (rev 0)
+++ pkg/causalGel/R/causalGel.R 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,57 @@
+## Model builder
+
+causalModel <- function(g, balm, data,theta0=NULL,
+ momType=c("ACE","ACT","uncondBal","fixedMom"),
+ popMom = NULL, rhoFct=NULL,ACTmom=1L,
+ gelType = c("EL", "ET", "EEL", "ETEL", "HD", "ETHD","REEL"))
+{
+ momType <- match.arg(momType)
+ gelType <- match.arg(gelType)
+ if (!is.null(popMom))
+ {
+ momType <- "fixedMom"
+ } else {
+ if (momType == "fixedMom")
+ stop("With fixed moments, popMom must be provided")
+ }
+ tmp_model <- gmm4:::.lGmmData(g, balm, data)
+ if (attr(terms(tmp_model$modelF), "intercept") != 1)
+ stop("You cannot remve the intercept from g")
+ if (attr(terms(tmp_model$instF), "intercept") != 1)
+ stop("You cannot remve the intercept from balm")
+ k <- tmp_model$k
+ ncoef <- 1+2*(k-1)
+ name_coef <- c("control",paste("treat", 1:(k-1), sep=""),
+ paste("ptreat", 1:(k-1), sep=""))
+ if (!is.null(theta0))
+ {
+ if (length(theta0) != ncoef)
+ stop(paste("The leangth of theta0 must be ", ncoef, sep=""))
+ if (is.null(names(theta0)))
+ names(theta0) <- name_coef
+ } else {
+ theta0 <- numeric(ncoef)
+ names(theta0) <- name_coef
+ theta0[1:k] <- coef(lm(g,data))
+ theta0[-(1:k)] <- colMeans(tmp_model$modelF, na.rm=TRUE)[-1]
+ }
+ if (momType != "uncondBal")
+ {
+ X <- model.matrix(terms(tmp_model$instF), tmp_model$instF)
+ Z <- model.matrix(terms(tmp_model$modelF), tmp_model$modelF)
+ if (momType == "ACE") {
+ popMom <- colMeans(X[,-1, drop=FALSE])
+ } else if (momType == "ACT") {
+ popMom <- colMeans(Z[X[,1+ACTmom]==1,-1, drop=FALSE])
+ }
+ }
+ modData <- new("causalData", reg=tmp_model$modelF, bal=tmp_model$instF,
+ momType=momType, popMom=popMom, ACTmom=ACTmom)
+ mod <- gelModel(g=causalMomFct, x=modData, gelType=gelType, rhoFct=rhoFct,
+ tet0=theta0, grad=causalDmomFct,vcov="MDS", vcovOptions=list(),
+ centeredVcov=TRUE, data=NULL)
+ mod at momNames <- c(names(theta0), paste("Bal", 1:(mod at q-mod@k), sep=""))
+ new("causalGel", mod)
+}
+
+
Added: pkg/causalGel/R/causalMethods.R
===================================================================
--- pkg/causalGel/R/causalMethods.R (rev 0)
+++ pkg/causalGel/R/causalMethods.R 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,46 @@
+
+## Moment functions
+
+setGeneric("causalMomFct", function(theta, object, ...) standardGeneric("causalMomFct"))
+
+setMethod("causalMomFct", signature("numeric", "causalData"),
+ function(theta, object) {
+ Z <- model.matrix(terms(object at reg), object at reg)
+ Y <- model.response(object at reg)
+ X <- model.matrix(terms(object at bal), object at bal)
+ k <- ncol(Z)
+ e <- Y-c(Z%*%theta[1:k])
+ m1 <- e*Z
+ e <- t(t(Z[,-1,drop=FALSE])-theta[-(1:k)])
+ m2 <- sapply(1:ncol(X), function(i) e*X[,i])
+ if (object at momType == "uncondBal")
+ return(cbind(m1,m2))
+ m3 <- sweep(X[,-1,drop=FALSE], 2, object at popMom, "-")
+ cbind(m1,m2,m3)
+ })
+
+## DMoment functions
+
+setGeneric("causalDmomFct", function(theta, object, ...) standardGeneric("causalDmomFct"))
+
+setMethod("causalDmomFct", signature("numeric", "causalData"),
+ function(theta, object, pt=NULL) {
+ Z <- model.matrix(terms(object at reg), object at reg)
+ X <- model.matrix(terms(object at bal), object at bal)
+ k <- ncol(Z)
+ n <- nrow(Z)
+ ntet <- length(theta)
+ if (is.null(pt))
+ pt <- rep(1/n, n)
+ ZT <- c(Z%*%theta[1:k])
+ q <- 2*k + (k-1)*(ncol(X)-1) - 1
+ G <- matrix(0, q, ntet)
+ G11 <- lapply(1:k, function(i) -colSums(pt*Z[,i]*Z))
+ G[1:k, 1:k] <- do.call(rbind, G11)
+ G[(k+1):ntet, (k+1):ntet] <- -sum(pt)*diag(k-1)
+ uK <- colSums(pt*X[,-1,drop=FALSE])
+ G[(2*k):q, (k+1):ntet] <- -kronecker(diag(k-1), uK)
+ if (object at momType != "uncondBal" | object at momType=="fixedMon")
+ G <- rbind(G, matrix(0, ncol(X)-1, ntet))
+ G
+ })
Added: pkg/causalGel/data/nsw.rda
===================================================================
(Binary files differ)
Index: pkg/causalGel/data/nsw.rda
===================================================================
--- pkg/causalGel/data/nsw.rda 2019-10-10 20:39:45 UTC (rev 142)
+++ pkg/causalGel/data/nsw.rda 2019-10-17 20:19:29 UTC (rev 143)
Property changes on: pkg/causalGel/data/nsw.rda
___________________________________________________________________
Added: svn:mime-type
## -0,0 +1 ##
+application/octet-stream
\ No newline at end of property
Added: pkg/causalGel/man/causalData-class.Rd
===================================================================
--- pkg/causalGel/man/causalData-class.Rd (rev 0)
+++ pkg/causalGel/man/causalData-class.Rd 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,34 @@
+\name{causalData-class}
+\docType{class}
+\alias{causalData-class}
+\alias{causalData}
+\alias{aceDmomFct,numeric,causalData-method}
+\alias{aceMomFct,numeric,causalData-method}
+
+\title{Class \code{"causalData"}}
+\description{
+On object used by the moment functions.
+}
+\section{Objects from the Class}{
+Objects can be created by calls of the form \code{new("causalData", ...)}.
+}
+\section{Slots}{
+ \describe{
+ \item{\code{momType}:}{Object of class \code{"character"} ~~ }
+ \item{\code{popMom}:}{Object of class \code{"numericORNULL"} ~~ }
+ \item{\code{ACTmom}:}{Object of class \code{"integer"} ~~ }
+ \item{\code{reg}:}{Object of class \code{"data.frame"} ~~ }
+ \item{\code{bal}:}{Object of class \code{"data.frame"} ~~ }
+ }
+}
+\section{Methods}{
+ \describe{
+ \item{aceDmomFct}{\code{signature(theta = "numeric", object = "causalData")}: ... }
+ \item{aceMomFct}{\code{signature(theta = "numeric", object = "causalData")}: ... }
+ }
+}
+
+\examples{
+showClass("causalData")
+}
+\keyword{classes}
Added: pkg/causalGel/man/causalDmomFct-methods.Rd
===================================================================
--- pkg/causalGel/man/causalDmomFct-methods.Rd (rev 0)
+++ pkg/causalGel/man/causalDmomFct-methods.Rd 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,16 @@
+\name{causalDmomFct-methods}
+\docType{methods}
+\alias{causalDmomFct-methods}
+\alias{causalDmomFct}
+\alias{causalDmomFct,numeric,causalData-method}
+\title{ ~~ Methods for Function \code{causalDmomFct} in Package \pkg{causalGel} ~~}
+\description{
+ Methods for computing the derivative of the moment function.
+}
+\section{Methods}{
+\describe{
+
+\item{\code{signature(theta = "numeric", object = "causalData")}}{
+}
+}}
+\keyword{methods}
Added: pkg/causalGel/man/causalGel-class.Rd
===================================================================
--- pkg/causalGel/man/causalGel-class.Rd (rev 0)
+++ pkg/causalGel/man/causalGel-class.Rd 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,50 @@
+\name{causalGel-class}
+\docType{class}
+\alias{causalGel-class}
+\alias{causalGel}
+
+\title{Class \code{"causalGel"}}
+\description{
+This is the basic class for causality models.
+}
+\section{Objects from the Class}{
+Objects can be created by calls of the form \code{new("causalGel", ...)}.
+It is however, recommended to use the constructor \code{aceModel}.
+}
+\section{Slots}{
+ \describe{
+ \item{\code{wSpec}:}{Object of class \code{"list"} ~~ }
+ \item{\code{gelType}:}{Object of class \code{"list"} ~~ }
+ \item{\code{X}:}{Object of class \code{"ANY"} ~~ }
+ \item{\code{fct}:}{Object of class \code{"function"} ~~ }
+ \item{\code{dfct}:}{Object of class \code{"functionORNULL"} ~~ }
+ \item{\code{vcov}:}{Object of class \code{"character"} ~~ }
+ \item{\code{theta0}:}{Object of class \code{"numeric"} ~~ }
+ \item{\code{n}:}{Object of class \code{"integer"} ~~ }
+ \item{\code{q}:}{Object of class \code{"integer"} ~~ }
+ \item{\code{k}:}{Object of class \code{"integer"} ~~ }
+ \item{\code{parNames}:}{Object of class \code{"character"} ~~ }
+ \item{\code{momNames}:}{Object of class \code{"character"} ~~ }
+ \item{\code{vcovOptions}:}{Object of class \code{"list"} ~~ }
+ \item{\code{centeredVcov}:}{Object of class \code{"logical"} ~~ }
+ \item{\code{varNames}:}{Object of class \code{"character"} ~~ }
+ \item{\code{isEndo}:}{Object of class \code{"logical"} ~~ }
+ \item{\code{omit}:}{Object of class \code{"integer"} ~~ }
+ \item{\code{survOptions}:}{Object of class \code{"list"} ~~ }
+ }
+}
+\section{Extends}{
+Class \code{"\linkS4class{functionGel}"}, directly.
+Class \code{"\linkS4class{functionGmm}"}, by class "functionGel", distance 2.
+Class \code{"\linkS4class{gelModels}"}, by class "functionGel", distance 2.
+Class \code{"\linkS4class{allNLGmm}"}, by class "functionGel", distance 3.
+Class \code{"\linkS4class{gmmModels}"}, by class "functionGel", distance 3.
+}
+\section{Methods}{
+No methods defined with class "causalGel" in the signature.
+}
+
+\examples{
+showClass("causalGel")
+}
+\keyword{classes}
Added: pkg/causalGel/man/causalModel.Rd
===================================================================
--- pkg/causalGel/man/causalModel.Rd (rev 0)
+++ pkg/causalGel/man/causalModel.Rd 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,76 @@
+\name{causalModel}
+
+\alias{causalModel}
+
+\title{Constructor for \code{"causalGel"} classes}
+
+\description{
+It builds the object of either class \code{"linearGmm"},
+\code{"nonlinearGmm"} or \code{"functionGmm"}. This is the first step
+before running any estimation algorithm.
+}
+\usage{
+causalModel(g, balm, data, theta0=NULL,
+ momType=c("ACE","ACT","uncondBal","fixedMom"),
+ popMom = NULL, rhoFct=NULL,ACTmom=1L,
+ gelType = c("EL", "ET", "EEL", "ETEL", "HD", "ETHD","REEL"))
+}
+\arguments{
+
+ \item{g}{A formula that links the outcome variable to the treatment
+ indicators.}
+
+ \item{balm}{A formula or a matrix with balancing covariates}
+
+ \item{data}{A data.frame or a matrix with column names.}
+
+ \item{theta0}{A vector of starting values (optional). If not provided,
+ the least squares method is use to generate them}
+
+ \item{momType}{How the moments of the covariates should be balanced. By
+ default, it is balanced using the sample mean of the covariates,
+ which corresponds to the ACE. Alternatively, to the sample
+ moments of the treated group (ACT), or to a known population mean. The
+ option 'uncondBal' means that it is unconditionally balanced.}
+
+ \item{popMom}{A vector of population moments to use for balancing. It
+ can be used if those moments are available from a census, for
+ example. When available, it greatly improves efficiency.}
+
+ \item{rhoFct}{An optional function that return \eqn{\rho(v)}. This is
+ for users who want a GEL model that is not built in the package. The
+ four arguments of the function must be \code{"gmat"}, the matrix of
+ moments, \code{"lambda"}, the vector of Lagrange multipliers,
+ \code{"derive"}, which specify the order of derivative to return, and
+ \code{k} a numeric scale factor required for time series and kernel
+ smoothed moments.}
+
+ \item{ACTmom}{When \code{momType} is set to 'ACT', that integer
+ indicates which treated group to use to balance the covariates.}
+
+
+ \item{gelType}{"EL" for empirical likelihood, "ET" for exponential tilting,
+ "EEL" for Euclidean empirical likelihood, "ETEL" for exponentially
+ tilted empirical likelihood of Schennach(2007), "HD" for Hellinger
+ Distance of Kitamura-Otsu-Evdokimov (2013), and "ETHD" for the
+ exponentially tilted Hellinger distance of Antoine-Dovonon
+ (2015). "REEL" is a restricted version of "EEL" in which the
+ probabilities are bounded below by zero. In that case, an analytical
+ Kuhn-Tucker method is used to find the solution.}
+
+}
+
+\value{
+'gmmModel' returns an object of one of the subclasses of \code{"gmmModels"}.
+ }
+
+\examples{
+data(nsw)
+
+balm <- ~age+ed+black+hisp:married+nodeg+re75+I(re75^2)
+g <- re78~treat
+
+model <- causalModel(g, balm, nsw)
+
+}
+
Added: pkg/causalGel/man/causalMomFct-methods.Rd
===================================================================
--- pkg/causalGel/man/causalMomFct-methods.Rd (rev 0)
+++ pkg/causalGel/man/causalMomFct-methods.Rd 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,19 @@
+\name{causalMomFct-methods}
+\docType{methods}
+
+\alias{causalMomFct-methods}
+\alias{causalMomFct}
+\alias{causalMomFct,numeric,causalData-method}
+
+\title{Methods for Function \code{causalMomFct} in Package \pkg{causalGel}}
+\description{
+ The methods computes the moment matrix.
+}
+\section{Methods}{
+\describe{
+
+\item{\code{signature(theta = "numeric", object = "causalData")}}{
+}
+}}
+\keyword{methods}
+\keyword{Balancing moments}
Added: pkg/causalGel/man/nsw.Rd
===================================================================
--- pkg/causalGel/man/nsw.Rd (rev 0)
+++ pkg/causalGel/man/nsw.Rd 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,53 @@
+\name{nsw}
+\docType{data}
+\alias{nsw}
+\title{Lalonde subsample of the National Supported Work Demonstration Data
+(NSW)}
+\description{
+This data was collected to evaluate the National Supported Work
+ (NSW) Demonstration project in Lalonde (1986).
+}
+\usage{data(nsw)}
+\format{
+A data frame containing 9 variables.
+\describe{
+\item{treat}{Treatment assignment}
+\item{age}{Age}
+\item{ed}{Years of Education}
+\item{black}{1 if Black, 0 otherwise}
+\item{hisp}{1 if Hispanic 0 otherwise}
+\item{married}{1 if married 0 otherwise}
+\item{nodeg}{1 if no college degree 0 otherwise}
+\item{re75}{1975 earnings}
+\item{re78}{1978 earnings}
+}
+}
+
+\details{
+ The dataset was obtained from the ATE package (see reference).
+ }
+
+
+\source{
+"NSW Data Files" from Rajeev Dehejia's website. URL:
+\url{http://users.nber.org/~rdehejia/data/nswdata2.html}
+
+"National Supported Work Evaluation Study, 1975-1979: Public Use Files."
+from the Interuniversity Consortium for Political and Social
+Research. URL: \url{http://www.icpsr.umich.edu/icpsrweb/ICPSR/studies/7865}
+}
+
+\references{
+
+ Lalonde, R. (1986). "Evaluating the Econometric Evaluations of Training Programs," American Economic Review, 76(4), 604-620.
+
+ Dehejia R. and Wahba S. (1999). "Causal Effects in Non-Experimental Studies: Re-Evaluating the Evaluation of Training Programs," JASA 94 (448), 1053-1062.
+
+ Asad Haris and Gary Chan (2015). ATE: Inference for Average Treatment
+ Effects using Covariate Balancing. R package version 0.2.0.
+ \url{https://CRAN.R-project.org/package=ATE}
+
+}
+
+
+\keyword{datasets}
Added: pkg/causalGel/vignettes/causal.bib
===================================================================
--- pkg/causalGel/vignettes/causal.bib (rev 0)
+++ pkg/causalGel/vignettes/causal.bib 2019-10-17 20:19:29 UTC (rev 143)
@@ -0,0 +1,882 @@
+
+ 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{greene12,
+author = {Greene, W. H.},
+title = {Econometric Analysis, 7th edition},
+publisher = {Prentice Hall},
+year = {2012},
+}
+
+ at Book{hayashi00,
+author = {Hayashi, FH.},
+title = {Econometrics},
+publisher = {Princeton University Press},
+year = {2000},
+}
+
+ at Book{hayashi00,
+author = {Hayashi, FH.},
+title = {Econometrics},
+publisher = {Princeton University Press},
+year = {2000},
+}
+
+ at Book{stock-watson15,
+author = {Stock, J.H. and Watson, M.W.},
+title = {Introduction to Econometrics},
+publisher = {Pearson},
+year = {2015},
+}
+
+ at Book{wooldridge16,
+author = {Wooldridge, J. M.},
+title = {Introductory Econometrics, A Modern Approach, 6th edition},
+publisher = {Cengage Learning},
+year = {2016},
+}
+
+ 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{berger-graham-zeileis17,
+ title = {Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in {R}},
+ author = {Berger, S. and Graham, N. and Zeileis, A.},
+ institution = {Working Papers in Economics and Statistics, Research Platform Empirical and Experimental Economics, Universit\"at Innsbruck},
+ year = {2017},
+ type = {Working Paper},
+ number = {2017-12},
+ month = {July},
+url = {http://EconPapers.RePEc.org/RePEc:inn:wpaper:2017-12}
+}
+ }
+
+ 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 Book{klein50,
+author = {Klein, L.},
+publisher = {New York: John Wiley and Sons},
+title = {Economic Fluctuations in the United-States 1921-1941},
+year = {1950},
+}
+
+ 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},
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/gmm -r 143
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