[R] Implementation of GMM

From: Horace Tso <Horace.Tso_at_pgn.com>
Date: Fri, 29 Feb 2008 09:18:37 -0800


Hi folks,

Is there an implementation of generalized method of moments in R? I did do a help.search but found no hit. Site search found this gmm estimator function in the package sde but not sure what it is.

Having browsed the codes in Finmetrics, I naively thought it won't be too hard to implement it in R. (That last statement reflects as much naivete as desparation to port my finmetrics codes to R so I could run some routines on my laptop at home.)

Thanks.

Horace

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