Bruce E. Hansen


Programs -- GMM and Empirical Likelihood


New (2003): Self-contained estimation using Empirical Likelihood.
This program is fast (at least for linear models) but does not have built-in constrained estimation or testing.
The program uses separate inner/outer loop optimization.
The inner loop program may be used alone for calculation of EL probabilities.
[Gauss Program]. [Matlab Program].

"Edgeworth expansions for the Wald and GMM statistics for nonlinear restrictions" Econometric Theory and Practice (2006). [Gauss Program].

Program to estimate moment models by Empirical Likelihood, test parameter restrictions, and construct profile confidence intervals.
The program directly optimizes the saddle likelihood, which can be numerically unreliable. [Gauss Program] [Matlab Program].

Program to estimate moment models by Continuously-Updated GMM, test parameter restrictions, and construct profile confidence intervals [Gauss Program] [Matlab Program].

"Instrumental Variable Estimation of a Threshold Model", with Mehmet Caner, Econometric Theory, (2004), 20, 813-843. [Download].


Empirical Likelihood Homepage