topic Re: How to get residual when using SAS to do GMM in SAS Forecasting and Econometrics

How to get residual when using SAS to do GMM

Yanni_C — Tue, 27 Oct 2020 10:55:57 GMT

How to get residual when using SAS to do GMM?

Here is an example:

proc sort data;by id ;run;

proc model data;

endo ri;

exog mp smb hml;

instruments _exog_;

parms b0 b1 b2 b3;

ri= b0+b1*mp+b2*smb+b3*hml;

fit ri/gmm kernel=(bart,1,0);

by sizeport0 btmport0 ciiport0 ;

ods output parameterestimates=parameterestimates;

run;

quit;

I want to get residual in the dataset, but I do not know how to get it.

Thank you in advance.

Re: How to get residual when using SAS to do GMM

ChrisNZ — Mon, 02 Nov 2020 01:58:04 GMT

Moved to stats community.

Re: How to get residual when using SAS to do GMM

SteveDenham — Mon, 02 Nov 2020 14:24:48 GMT

Moved again to Forecasting and Econometrics community.

SteveDenham

Re: How to get residual when using SAS to do GMM

SteveDenham — Mon, 02 Nov 2020 14:35:40 GMT

Add the out=resid outresid option to the FIT statement, like this:

proc model data;
endo ri;
exog mp smb hml;
instruments _exog_;
parms b0 b1 b2 b3;
ri= b0+b1*mp+b2*smb+b3*hml;
fit ri/gmm kernel=(bart,1,0 ) out=resids outresid outactual;
by sizeport0 btmport0 ciiport0 ;
ods output parameterestimates=parameterestimates;

run;

So long as there is no conflict between the GMM method, the kernel option and these additional options, you should get a dataset named resids containing the residuals and the actual values of the endogenous variables.

SteveDenham