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I was looking for a book that could explain me well the Generalized Method of Moments, its mathematical nuances, and even have a look to the empirical side, maybe with some guided exercises with Stata or another software package. Thanks in advance!

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    $\begingroup$ You could have a look at Cochrane's Asset Pricing book, chapter 11. It doesn't answer all your questions but it's a start I think. $\endgroup$
    – Bob Jansen
    Jul 14, 2015 at 10:43
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    $\begingroup$ Another good one is the book "time series analysis" by Hamilton $\endgroup$
    – Gordon
    Jul 14, 2015 at 12:39

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