Econometric Modelling with Time Series

Specification, Estimation and Testing

PART THREE: Other Estimation Methods

Chapter 10: Generalised Method of Moments

(1) Method of Moments Estimation

gmm_mom.g
gmm_mom.m
gmm_mom.R

(2) Estimating a Gamma Distribution

gmm_gamma.g
gmm_gamma.m
gmm_gamma.R

(3) Estimating a Student t Distribution

gmm_student.g
gmm_student.m
gmm_student.R

(4) The Consumption Capital Asset Pricing Model

gmm_ccapm.g gmm_ccapm.m gmm_ccapm.R

ccapm.dat ccapm.mat

(5) Decomposing International Equity returns

gmm_equity.g gmm_equity.m gmm_equity.R

equity_decomposition.xlsx equity_decomposition.mat equity_decomposition.dat

(6) Modelling Contagion in the Asian Crisis

gmm_contagion.g gmm_contagion.m gmm_contagion.R

contagion.dat

(7) Consistency of GMM

gmm_consistency.g
gmm_consistency.m
gmm_consistency.R

(8) Monte Carlo Evidence for the Gamma Model

gmm_gammasim.g
gmm_gammasim.m
gmm_gammasim.R

(9) Level Effects in United States Interest Rates

gmm_level.g gmm_level.m gmm_level.R

level.dat level.mat level.Rdata

(10) Risk Aversion and the Equity Premium Puzzle

gmm_risk_aversion.g gmm_risk_aversion.m gmm_risk_aversion.R

equity_mp.dat equity_mp.mat equity_mp.Rdata