Economics 583: Econometric Theory I

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Winter 2013

  1. 1/7/13. There are several software options for doing GMM estimation: Eviews, Matlab, S-PLUS and R. Eviews 7 includes several long awaited improvements to the GMM code. There are two Matlab GMM toolboxes: one by Mike Cliff; one by Kostas N. Kyriakoulis (used for examples in Hall's book). Here are the links to the programs
    1. Mike Cliff's GMM and MINZ programs
    2. Kostas N. Kyriakoulis GMM toolbox
    3. Pierre Chausse's R GMM package.
  2. 1/7/13. Check out Hayshi's homepage with errata, answers to analytical exercises and review problems and other supplemental material. In particular, print out the errata and make note of the typos and corrections to the text.
  3. 1/7/13. Check out Alastair Hall's Advanced Econometrics course. This course is built around his GMM book.