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I'm trying to replicate the paper of Blundell et al. (2008) to separate permanent and transitory shocks on income on a panel dataset. He solves the non-linear system of equations using Chamberlain's minimum distance estimator (it is shown in the appendix of the paper), but I haven't found a library, nor in R, nor in STATA, that does the trick. Can someone help me?

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please add link to the article – mpiktas Apr 12 '11 at 12:24
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Google Scholar finds 229 papers authored in 2008 by a Blundell. Could you give us a bit more of a clue to which one you are referring, or maybe a URI? – onestop Apr 12 '11 at 12:27
    

Check the actuar package or the fitdistrplus package vignettes.

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