Generalized method of moments (GMM) estimation in Julia
MethodOfMoments.jl is a Julia package for generalized method of moments (GMM) estimation. It is designed with performance in mind for estimation involving large datasets.
- Fast multi-threaded nonlinear iterated GMM estimation
- Specialized methods for linear GMM
- Support for Bayesian quasi-likelihood approach
MethodOfMoments.jl can be installed with the Julia package manager
Pkg.
From the Julia REPL, type ] to enter the Pkg REPL and run:
pkg> add MethodOfMoments
For details on usage, please see the documentation.