1. Introduction to the Generalized Method of Moments Estimation / David Harris and Laszlo Matyas -- 2. GMM Estimation Techniques / Masao Ogaki -- 3. Covariance Matrix Estimation / Matthew J. Cushing and Mary G. McGarvey -- 4. Hypothesis Testing in Models Estimated by GMM / Alastair R. Hall -- 5. Finite Sample Properties of GMM estimators and Tests / Jan M. Podivinsky -- 6. GMM Estimation of Time Series Models / David Harris -- 7. Reduced Rank Regression Using GMM / Frank Kleibergen -- 8. Estimation of Linear Panel Data Models Using GMM / Seung C. Ahn and Peter Schmidt -- 9. Alternative GMM Methods for Nonlinear Panel Data Models / Jorg Breitung and Michael Lechner -- 10. Simulation Based Method of Moments / Roman Liesenfeld and Jorg Breitung -- 11. Logically Inconsistent Limited Dependent Variables Models / J. S. Butler and Gabriel Picone