topic Re: Estimating nonlinear Euler equation by GMM with panel data using model proc in SAS Forecasting and Econometrics https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimating-nonlinear-Euler-equation-by-GMM-with-panel-data-using/m-p/30598#M114 Hello -<BR /> As far as I can tell while the MODEL procedure supports GMM estimation, it is not<BR /> designed for panel data. Did you have a look at the PANEL procedure instead?<BR /> This example might be of interest: <A href="http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_panel_sect054.htm" target="_blank">http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_panel_sect054.htm</A><BR /> Thanks!<BR /> Udo Thu, 11 Nov 2010 07:56:42 GMT udo_sas 2010-11-11T07:56:42Z Estimating nonlinear Euler equation by GMM with panel data using model proc https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimating-nonlinear-Euler-equation-by-GMM-with-panel-data-using/m-p/30597#M113 Proc model can be used to estimate nolinear regression by GMM such as Euler equation derived from CCAPM. In order to get efficient estimator, weighing matrix need to be estimatied from data. Weighting matrix in GMM can be estimated directly for cross-sectional data without autocorrelation, and estimated using Newey-West covariance matrix for time-series data. How to get weighting matrix for panel data? Tue, 09 Nov 2010 08:28:33 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimating-nonlinear-Euler-equation-by-GMM-with-panel-data-using/m-p/30597#M113 Steve_Shanghai 2010-11-09T08:28:33Z Re: Estimating nonlinear Euler equation by GMM with panel data using model proc https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimating-nonlinear-Euler-equation-by-GMM-with-panel-data-using/m-p/30598#M114 Hello -<BR /> As far as I can tell while the MODEL procedure supports GMM estimation, it is not<BR /> designed for panel data. Did you have a look at the PANEL procedure instead?<BR /> This example might be of interest: <A href="http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_panel_sect054.htm" target="_blank">http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_panel_sect054.htm</A><BR /> Thanks!<BR /> Udo Thu, 11 Nov 2010 07:56:42 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimating-nonlinear-Euler-equation-by-GMM-with-panel-data-using/m-p/30598#M114 udo_sas 2010-11-11T07:56:42Z