GMM & CWM-measure

[deleted_user]

I have never used a GMM system and now I should use it in my master thesis to estimate Ferson's & Khang's CWM-measure (Conditional Weight-Based Measure) which is used to estimate the conditional performance of a fund manager.

Here is the link for the article http://www.marshall.usc.edu/faculty/ferson/vita/khang.pdf and the page is 14 where the set-up for the GMM is mentioned.

I would be deeply indebted if somebody would give an example code which solves my problem.