Kostas Kyriakoulis's MATLAB GMM toolbox (GMMGUI) can be downloaded here. An introduction to the use of the GMMGUI is available here which shows how to estimate Hansen & Singleton's (1982) version of the consumption based asset pricing model; data and files are available here.  Note: when the GMMGUI is opened there is an error warning about `pcode'; the GMMGUI will still execute in MATLAB version R2015a or earlier.


Kostas Kyriakoulis (1975-2015):

I first met Kostas in 2000 when he entered the Economics PhD program at North Carolina State University, and I had the great pleasure of chairing his PhD commitee and guiding his research in econometrics along with my colleagues David Dickey, Atsushi Inoue and Denis Pelletier. During this time, I was also working on my book about GMM and Kostas suggested to me that he could write a Graphical User Interface for the MATLAB programs I had written to perform the empirical analysis reported in the book. He not only did that but also greatly improved  my MATLAB code to provide very user-friendly and efficient method for GMM estimation in MATLAB. As it worked out, the GMMGUI was only completed after my book was published and so is not referred to in the text. However, I have used the toolbox with much success in a number of short courses on GMM that I have taught over the years.

After completion of his PhD at NCSU in 2006, he worked at SAS Inc and then joined the Department of Data Analytics at NCSU in 2013.  Kostas was a gifted econometrician with a great talent for computing who possessed a wonderful, warm personality.  He is deeply missed by his friends and colleagues.