Part XXIV. Generalized Method of Moments

Table of Contents

gmm — Generalized Method of Moments
gmm1 — Generalized Method of Moments
gmmAndMon — Andrews-Monahan HAC estimators
gmmCcapmJ — Gradients of moment condition for power utility CCAPM example
gmmCcapmM — Moments condition for power utility CCAPM example
gmmDiagW — Plots GMM weighting matrix
gmmDtest — performs D test of model comparaison for GMM
gmmLM — LM test for GMM
gmmLinJ — Jacobian of moment conditions for linear GMM estimation
gmmLinM — Provide moment conditions for linear GMM estimation
gmmLsFunc — GMM objective function
gmmLsGrad — GMM gradients of the objective function
gmmMomtRestr — Performs test of moment restriction
gmmMsdJ — Jacobian for Mean/StdDev GMM estimation
gmmMsdM — Provide moment conditions for Mean/StdDev GMM estimation
gmmNlWald — Wald test for GMM with nonlinear restrictions
gmmRdef — Computes the value for the restrictions in a nonlinear Wald test
gmmS — Spectral density matrix in GMM
gmmWald — Wald test