R Programming/Method of Moments

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Wikipedia has related information at Generalized method of moments and Method of moments (statistics).

Package gmm implements the generalized method of moment and the generalized empirical likelihood.

First, it is possible to estimate a simple linear model or a simple linear model with instrumental variables using the gmm() function. The GMM method is often used to estimate heteroskedastic instrumental variable models.

> # Simple linear model > N <- 1000 > u <- rnorm(N) > x <- 1 + rnorm(N) > y <- 1 + x + u > res <- gmm(y ~ x, x) > # Simple linear model with instrumental variables. > library(gmm) > N <- 1000 > u <- rnorm(N) > z <- rnorm(N) > x <- 1 + z + u + rnorm(N) > y <- 1 + x + u > res <- gmm(y ~ x, z) > summary(res)