gmm
Generalized Method of Moments and Generalized Empirical Likelihood
v1.9-1
·
Aug 26, 2025
·
GPL (>= 2)
Description
It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (Hansen 1982; <doi:10.2307/1912775>), the iterated GMM and continuous updated estimator (Hansen, Eaton and Yaron 1996; <doi:10.2307/1392442>) and several methods that belong to the Generalized Empirical Likelihood family of estimators (Smith 1997; <doi:10.1111/j.0013-0133.1997.174.x>, Kitamura 1997; <doi:10.1214/aos/1069362388>, Newey and Smith 2004; <doi:10.1111/j.1468-0262.2004.00482.x>, and Anatolyev 2005 <doi:10.1111/j.1468-0262.2005.00601.x>).
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CRAN Check Status
13
OK
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 9, 2026
ERROR 12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Jun 8, 2026
ERROR
r-devel-linux-x86_64-debian-gcc
examples
Running examples in ‘gmm-Ex.R’ failed
The error most likely occurred in:
> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: gmm
> ### Title: Generalized method of moment estimation
> ### Aliases: gmm gmmWithConst evalGmm
>
> ###
...[truncated]...
212145872e-28 *******
>
> ## linear tests can be performed using linearHypothesis from the car package
> ## The CAPM can be tested as follows:
>
> library(car)
Error in library(car) : there is no package called ‘car’
Execution halted
OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 27, 2026
ERROR 13 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Mar 24, 2026
ERROR
r-devel-linux-x86_64-debian-gcc
examples
Running examples in ‘gmm-Ex.R’ failed
The error most likely occurred in:
> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: confint
> ### Title: Confidence intervals for GMM or GEL
> ### Aliases: confint.gel confint.ategel confint
...[truncated]...
n-conformable arguments
Error in AllArg$bw(obj, order.by = AllArg$order.by, kernel = AllArg$kernel, :
VAR(1) prewhitening of estimating functions failed
Calls: gel ... FinRes.baseGmm.res -> .weightFct -> .myKernHAC -> <Anonymous>
Execution halted
OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
Reverse Dependencies (9)
depends
imports
Dependency Network
Version History
34 tracked
new
1.9-1
Mar 10, 2026