Re: [R] generalized moment method

From: Markus Jäntti <markus.jantti_at_iki.fi>
Date: Mon, 11 Jun 2007 12:41:24 +0300

Sebastian Kruk wrote:
> Dear everyone:
>
> I have to finish my thesis to graduate as Bs. in Economics.
>
> I choose to estimate a New Keynesian Phillips Curve (NKPC) for Uruguay
> using Generalized Moment Method (GMM).
>
> I do not know programming or R but I would like to use it.
>
> Should I use gee, geepack or gam?

Dear Sebastián -- neither geepack nor gam provide GMM estimators. GMM -- or at least minimum distance estimation techniques -- rely on fitting by linear or more often non-linear least squares functions of smaller parameter vectors to the empirical moments of your problem. R is a suitable tool for this, but there is AFAIK know general GMM package.

The details of our model would need to be known before any further advice can be given.

Regards,

Markus

>
> Thanks in advance,
>
> Sebastián.
>
> ***************************************
>
> ¡Hola todos!
>
> Para terminiar mi licenciatura en Economía debo hacer un trabajo de
> investigación monográfico.
>
> Elegi como tema la estimación de la curva de Phillips de los Nuevos
> Keynesianos (CPNK).
>
> No se programar ni conosco el lenguaje R pero me gustaria usarlo para
> estimar la CPNK usando el método generalizado de los momentos (MGM).
>
> ¿Debería usar el paquete gee, geepack o gam?
>
> Gracias a todos.
>
> Sebastián.
>
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>

-- 
Markus Jantti
Abo Akademi University
markus.jantti_at_iki.fi
http://www.iki.fi/~mjantti

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Received on Mon 11 Jun 2007 - 09:47:36 GMT

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