Generalized Method of Moments
Alastair R. Hall
ISBN: 0-19-877521-0
The
book includes a number of empirical examples in macroeconomics and
finance. Kostas
Kyriakoulis has written a GMM Toolbox in MATLAB that
is based on the programs used to perform the calculations reported in the book.
To download this toolbox, click here.
Also available via this link are programs and data for implementing GMM
estimation of the consumption based asset pricing model that is used as the
running example throughout the book.