S+FinMetrics 2.0 contains a function gmm() for doing general linear and
nonlinear GMM estimation. The function is very flexible. All you need to do is
specify a function to compute the moment conditions for your model. You can
estimate models by 1-step, 2-step, interated and continuous-updating GMM. The
2nd Edition of my book Modeling Financial Time Series with S-PLUS (available in
December) has a chapter on GMM estimation which describes in detail the
mechanics of GMM together with many applications. S+FinMetrics 2.0 also
contains a function EMM() for doing Gallant and Tauchen's efficient method of
moments (EMM) estimation. Whereas GMM uses arbitrary moments, EMM is a
simulated GMM type estimation procedure that utilizes moment conditions which
make GMM estimates close to maximum likelihood estimates (e.g. efficient
estimates). EMM is particularly attractive for estimating discrete-time and
continuous-time stochastic volatility models used in finance.
****************************************************************
* Eric Zivot *
* Associate Professor phone: 206-543-6715 *
* Department of Economics fax: 206-685-7477 *
* Box 353330 email: ezivot@u.washington.edu *
* University of Washington *
* Seattle, WA 98195-3330 *
* *
* www: http://faculty.washington.edu/ezivot *
****************************************************************
On Thu, 1 Dec 2005 yaeser@bilkent.edu.tr wrote:
How can I make GMM estimation with S-Plus 2000 Professional Version (Windows
XP).
I could not find any GMM topics in the help menu. Thank you.
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