I'm looking for an R package (or a combination of packages) that would allow me to perform MCMC estimation of a GMM model, with a user-specified moments function.
I've looked at the CRAN Bayesian task-view, but I can't seem to find what I'm looking for, packages being either too general (eg. mcmc) or too specific (MCMCpack)... Ideally I would like to be able to implement Stochastic GMM or to use package R-INLA to do iterative nested Laplace approximation, again with a user-specified moments function.
Any help greatly appreciated!