各位大虾好！现正在做一个ckls模型的实证分析，利用GMM进行参数估计，已经找到一段程序

Ckls.moments <- function(parm, data = NULL,dt=1/365){

# parm = (alpha, beta, sigma, gamma)’

# data =[r(t+dt)-r(t), r(t)]

# dt = discretization step

E.hat = as.vector(data[,1] - (parm[1] + parm[2]*data[,2])*dt)

M2 = e.hat*(as.vector(data[,2]))

M3 = e.hat^2-dt*parm[3]*parm[3]*(as.vector(data[,2]^(2*parm[4])))

M4 = m3*data[,2]

Cbind(e.hat,m2,m3,m4)

d.ckls.ts <- read.table(file = "C:\\Users\\Administrator\\Desktop\\d.ckls.ts.txt", header = TRUE)（一阶差分）

t.ckls.ts <- read.table(file = "C:\\Users\\Administrator\\Desktop\\t.ckls.ts.txt", header = TRUE)（一阶滞后）

data.ckls.ts <- data.frame(d.ckls.ts,l.ckls.ts)

collds(data.ckls.ts)[1]=”RF.diff”

Start.vals = c(0.06,-0.5,1,1)Names(start.vals) = c(“alpha”,”beta”,”sigma”,”gamma”)Gmm.ckls = GMM(start.vals,ckls.moments,ts=T,data =data.ckls,dt =1/365)Summary(gmm.ckls) Call:GMM(start=start.vals,moments = ckls.moments, ts = T, data=data.ckls, dt=1/365)小女菜鸟一枚，发现GMM这个函数不存在，在S-PLUS中不能直接计算，求助！