I'm looking for an R package (or a combination of packages) that would allow me to perform MCMC estimation of a GMM model, with a user-specified moments function. I've looked at the CRAN Bayesian task-view, but I can't seem to find what I'm looking for, packages being either t...
Stochastic Generalized Method of Moments.
- Citation data:
Journal of computational and graphical statistics : a joint publication of American Statistical Association, Institute of Mathematical Statistics, Interface Foundation of North America, ISSN: 1061-8600, Vol: 20, Issue: 3, Page: 714-727
- Publication Year:
- Repository URL:
- PMC3286612; 3286612
- Mathematics; Decision Sciences; Generalized linear model; Gibbs sampling; Iterative monte carlo; Markov chain monte carlo; Metropolis algorithm; Moment condition