momentfit: Methods of Moments

Several classes for moment-based models are defined. The classes are defined for moment conditions derived from a single equation or a system of equations. The conditions can also be expressed as functions or formulas. Several methods are also offered to facilitate the development of different estimation techniques. The methods that are currently provided are the Generalized method of moments (Hansen 1982; <doi:10.2307/1912775>), for single equations and systems of equation, and the Generalized Empirical Likelihood (Smith 1997; <doi:10.1111/j.0013-0133.1997.174.x>, Kitamura 1997; <doi:10.1214/aos/1069362388>, Newey and Smith 2004; <doi:10.1111/j.1468-0262.2004.00482.x>, and Anatolyev 2005 <doi:10.1111/j.1468-0262.2005.00601.x>). Some work is being done to add tools to deal with weak and/or many instruments. This includes K-Class estimators (Limited Information Maximum Likelihood and Fuller), Anderson and Rubin statistic test, etc.

Version:	1.0
Depends:	R (≥ 3.5), sandwich
Imports:	stats, methods, parallel
Suggests:	lmtest, knitr, texreg, rmarkdown, ivmodel, nloptr
Published:	2025-08-26
DOI:	10.32614/CRAN.package.momentfit
Author:	Pierre Chausse [aut, cre]
Maintainer:	Pierre Chausse <pchausse at uwaterloo.ca>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation:	yes
Materials:	NEWS
CRAN checks:	momentfit results

Documentation:

Reference manual:	momentfit.html , momentfit.pdf
Vignettes:	Instrumental Variables Tools for the Case of Weak or Many Instruments (source, R code) Generalized Empirical Likelihood with R (source, R code) Generalized Method of Moments with R (source, R code)

Downloads:

Package source:	momentfit_1.0.tar.gz
Windows binaries:	r-devel: momentfit_1.0.zip, r-release: momentfit_1.0.zip, r-oldrel: momentfit_1.0.zip
macOS binaries:	r-release (arm64): momentfit_1.0.tgz, r-oldrel (arm64): momentfit_1.0.tgz, r-release (x86_64): momentfit_1.0.tgz, r-oldrel (x86_64): momentfit_1.0.tgz
Old sources:	momentfit archive

Reverse dependencies:

Reverse imports:

multipleOutcomes

Linking:

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