emm.tar

EMM is a package that implements the simulation estimator
described in Gallant, A. Ronald, and George Tauchen (1996),
"Which Moments to Match," Econometric Theory 12, 657--681, 
using the algorithm by Chernozhukov, Victor, and Han Hong
(2003), "An MCMC Approach to Classical Estimation," Journal
of Econometrics 115, 293--346.  It is sufficiently general 
purpose that it can be used for maximum likelihood estimation 
and Bayesian estimation in addition to simulation estimation.

The package is written in C++.  It includes a parallelized 
version that uses MPI, a user's guide, examples, and necessary 
libraries.

emm.tar can be unpacked by using unzip on Microsoft Windows or
tar -xf emm.tar on a Unix machine.

EMM user code written prior to December 2006 will need to be
modified to relect the substitution of libscl for libcpp.
The line "#include libcpp.h" should be replaced by
"#include libscl.h" at every occurance.  User header files 
will need to replace the names realmat, intvec, and kronprd 
by scl:realmat, scl::intvec, and scl::kronprd, respectively.
Similarly, for source files unless the statement "using
namespace scl;" is added after the line "#include libscl.h".

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License as
published by the Free Software Foundation; either version 2 of
the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public
License along with this program; if not, write to the Free
Software Foundation, Inc., 51 Franklin Street, Fifth Floor,
Boston, MA 02110-1301 USA.