Generalized Method of Moments

Alastair R. Hall

ISBN: 0-19-877521-0

Oxford University Press

Link to book at OUP in UK

Link to book at OUP in USA



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.