Replication Data for "A Tutorial on the GMM Method" published by RAC - Revista de Administração Contemporânea

Our paper can be used as a guide for those interested in learning about the GMM method with applications in Finance. These files can be used by readers who wish to follow the tutorial using the same data as the authors. 1) Before using the files with the datasets and the code, have a look at the readme file for further instructions. 2) file GMM_CKLS.R is based on the paper by Chan, Karolyi, Longstaff and Sanders (1992) and applies the GMM method to estimate the parameters of the SDE that describes the behavior of short-term continuous interest rates. 3) file GMM_CCAPM.R applies the GMM method on data comprised of 10 portfolios built according to the market value of shares traded on NYSE 4) files Data_CCAPM and Data_CKLS contain the dataset that needs to be uploaded with the code.

本文可作为学习广义矩估计（Generalized Method of Moments，GMM）方法及其在金融学领域应用的读者的参考指南。读者可借助本批配套文件，使用与原文作者完全一致的数据集跟随教程开展实操练习。
1) 在使用附带数据集与代码的文件前，请先查阅README文件以获取详细操作指引。
2) GMM_CKLS.R 文件基于Chan、Karolyi、Longstaff与Sanders（1992）的研究论文，采用广义矩估计（GMM）方法对描述短期连续利率行为的随机微分方程（Stochastic Differential Equation，SDE）的参数进行估计。
3) GMM_CCAPM.R 文件将广义矩估计（GMM）方法应用于一组数据集，该数据集包含按纽约证券交易所（New York Stock Exchange，NYSE）上市股票市值构建的10组投资组合。
4) Data_CCAPM 与 Data_CKLS 为需与代码配套上传的数据集文件。