topic Re: GMM Estimation in SAS Forecasting and Econometrics

GMM Estimation

Jess03ng — Fri, 23 Oct 2020 11:16:45 GMT

Is PROC FMM can be used to model GMM? I can't see any GMM coding in FMM procedures but GMM appears in PROC Panel and PROC Model. Anyone can answer this? Thanks in advance!

Re: GMM Estimation

SASCom1 — Mon, 26 Oct 2020 13:04:54 GMT

Thank you for your question. Can you clarify what specific 'GMM model' you are referring to? Are you referring to the generalized method of moments(GMM) which is supported in SAS/ETS procedures PROC MODEL and PROC PANEL, or are you referring to the Gaussian mixture model(GMM) as supported in the Data Mining and Machine Learning procedures PROC GMM as documented here:

https://go.documentation.sas.com/?cdcId=pgmsascdc&cdcVersion=9.4_3.5&docsetId=casml&docsetTarget=casml_gmm_overview.htm&locale=en

These two models are completely different type of models although both have abbreviated name of 'GMM'. Please clarify exactly which GMM model you are interested in.

The FMM procedure is a SAS/STAT procedure designed for 'finite mixture models'(FMM) where the distribution of the response is a finite mixture of distributions. It is not the same type of models as the generalized method moments as supported in PROC MODEL or PROC PANEL.

Re: GMM Estimation

Jess03ng — Tue, 27 Oct 2020 01:36:19 GMT

Is Generalized Method of Moments

Re: GMM Estimation

SASCom1 — Tue, 27 Oct 2020 16:32:44 GMT

The FMM procedure in SAS/STAT is not designed for the generalized method of moments estimation. The generalized method moments estimation is supported in SAS/ETS procedures PROC MODEL and PROC PANEL.