- 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
- Mike Cliff's GMM and MINZ
- Kostas N. Kyriakoulis GMM
- Pierre Chausse's R GMM
- 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.
- 1/7/13. Check out Alastair
Econometrics course. This course is built around his GMM book.