https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Selecting-instruments-in-system-GMM/m-p/672104#M3904 <P>Hi everyone</P><P>&nbsp;</P><P>I am trying to run a model in proc panel in SAS using system GMM. I have a few questions related to instrument statement</P><P>&nbsp;</P><P>1. If i specify an instrument in predetermined list, does SAS automatically creates its lagged values?</P><P>2. If i am using country level data, all instruments i use may be correlated with individual effects, what should i do in this case?</P><P>3. How should one choose appropriate instruments. All the regressors seem to be related to the dependent variable, why should not i include all of them in instument statement.</P><P>&nbsp;</P><P>I will be thankful if some one can guide me on the use of instruments in system GMM.</P> Fri, 24 Jul 2020 14:48:51 GMT hiravirk 2020-07-24T14:48:51Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Selecting-instruments-in-system-GMM/m-p/672104#M3904 <P>Hi everyone</P><P>&nbsp;</P><P>I am trying to run a model in proc panel in SAS using system GMM. I have a few questions related to instrument statement</P><P>&nbsp;</P><P>1. If i specify an instrument in predetermined list, does SAS automatically creates its lagged values?</P><P>2. If i am using country level data, all instruments i use may be correlated with individual effects, what should i do in this case?</P><P>3. How should one choose appropriate instruments. All the regressors seem to be related to the dependent variable, why should not i include all of them in instument statement.</P><P>&nbsp;</P><P>I will be thankful if some one can guide me on the use of instruments in system GMM.</P> Fri, 24 Jul 2020 14:48:51 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Selecting-instruments-in-system-GMM/m-p/672104#M3904 hiravirk 2020-07-24T14:48:51Z