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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