Re: GMM estimation

[Luca De Benedictis <debene@unimc.it>]

Let me step in and ask you a further question on GMM.
I have used GMM estimators in Stata, working on dynamic panel data with 
instrumental variables. Is there anything symilar in Splus?
Have you, Eric, done anything on that topic?
cheers

Luca De Benedictis

http://www.economiamc.org/debenedictis



Eric Zivot wrote:

> 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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