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.
A list of typographical
errors found in the text as of September 28, 2008 can be found here.