You can use Gmm when you want to have the lagged dependent variable as your independent variable or when the dependent variable has high persistence or long memory. If that is the case then, fixed and random effects estimate would be inconsistent. Better to use 3 step GMM estimation procedure. 

Dear Sir,

You should check out the articles of Arellano & Bond (1991) and Arellano & Bover (1995) then check out GMM module of Eviews. I hope they will help you !

As for cross section, there is not just one GMM for panel data. You can actually interpret the RE and the FE as GMM. Furthermore there are, for instance, the Difference and System GMM which take into account other specificities of the data. So you would probably need to know, what properties your data has in order to identify the appropriate method. Otherwise you can maybe specify your question for a more detailed answer.

Here is a link to some lecture notes in downloadable pdf format available online that provides a good first introduction to the topic of GMM...

http://www.otaru-uc.ac.jp/~qliu/panel.pdf

see especially pp. 32-37.

I attach the file.

Thanks Every one

Very useful for me was the recommendation of Cristiana Williamson.

thanks Cristiana for the ppt.

hello, anyone has GMM regression model for panel data methodology on written form?

i need panel GMM article please

Here are some document on GMM.

thanku so much Susana@

GMM is a good practical example of 2SLS

what is the meaning ofGMM - Panel data

Generalised Method of Moments (GMM) is the estimation technique to evaluate the relationship between dependent and independent variables in a specified model

Can we use GMM for a panel data with random effects? Please help me