Generalized method of moments/identification through heteroscedasticity

Hello to all :)

First of all sorry for my poor english. I am sadly not a native english speaker. Right now I am doing an event-study for my thesis. It focuses on the impact of the ECB on the german stock market. I found many different approaches but the approach to use the GMM seems to be widely widely spread among authors focussing on this topic. I will put a link to two papers I am referring to. Is there anyone of you that has experience with the GMM and could help me out? Especially I would like to know whether I can use e.g. SPSS and which steps I have to do to get the value of the GMM.

Thanks a lot in advance :)

Links to the papers: