• Syllabus
• Complete Lecture Notes by Bruce Hansen
• Some Linear Algebra
• Review for mathematics
• Preliminaries: Matrix Algebra, Probability, and Maximum Likelihood by Bruce Hansen
• review
• Lecture 1: Method of Moments Estimation by Bruce Hansen
• Lecture 2: Generalized Method of Moments by Bruce Hansen
• Empirical Likelihood
• Lecture 3:  Endogeneity Bruce Hansen
• Introduction to GMM
• More on GMM
• GMM
• GMM

• Asymptotic Properties of GMM Estimator: Consistency, Asymptotic Normality and Asymptotic Efficiency    Handout
• Inference in Moment Condition Models: Wald, LM and Distance Metric Statistics; Interval Estimators    Handout
• Lecture 4: Risk
• Lecture 5: CAPM
• CLM: Financial Econometrics
• Asset Pricing Theory - A brief Review
• Lecture 6: CLM, Chapter 5.
• Lecture 7: CLM, Chapter 6.
• Lecture 8: CLM, Chapter 7.
• Lecture 9: CLM, Chapter 8.
•  

Useful Links

• Ecn510: Financial Econometrics
• Ecn 720: Advanced Econometrics
• Financial Econometrics
• LSE Economics: AC437 Financial Econometrics
• Mark Salmon: Teaching Material
• Portfolio Theory
• CAPM

1.  Asset Pricing Theory - A brief Review

2   Hansen-Richard and the Stochastic Discount Factor

3.   Introduction to GMM

4.  More on GMM

5.  HJ Distances

.

• Gauss Programs

1. Generalized Method of Moments: Two-step GMM, Iterated GMM, Continuously Updated GMM    Handout
2. Generalized Method of Moments
3. Gauss_Tutorial
4. GAUSS program for GMM Estimation and data
5. Gauss Program for GMM

6. Program to estimate moment models by Continuously-Updated GMM, test parameter restrictions, and construct profile confidence intervals [Download].

7.  Gauss

8. Mika Vaihekoski: Statistical Routines for Gauss, Matlab, and Excel97/VBA

9. Judson and Owen's GAUSS Program

10. Computer Programs:

                 Programs: GMM-CCR

                      User Guides: GMM  CCR

11. Mike Cliff's GMM Matlab code

    Marco Data

    Return Data

    Interest Rate Data