topic Re: GMM instruments in PROC MODEL in SAS Forecasting and Econometrics

GMM instruments in PROC MODEL

Leo123 — Fri, 04 Mar 2022 07:40:37 GMT

Hi! I am new to SAS and I was trying to implement GMM method in the model PROC.

The documentation specifies the instruments to be cross product of real valued function q and vector of instruments z.

Is there a way I can specify which particular instrument z_i to be applied to particular function q_j, instead of kronecker product all of them all at once?

Thanks in advance!

Re: GMM instruments in PROC MODEL

ChrisNZ — Fri, 04 Mar 2022 07:41:39 GMT

Thread retitled and moved.

Re: GMM instruments in PROC MODEL

celalsur — Sat, 05 Mar 2022 07:53:11 GMT

where it is moved ?

Re: GMM instruments in PROC MODEL

ChrisNZ — Sun, 06 Mar 2022 21:33:50 GMT

It was moved to the procedures community in an effort to help since you did not get any reply on the programming community.

Re: GMM instruments in PROC MODEL

celalsur — Fri, 11 Mar 2022 11:10:11 GMT

Thanks for your quick reply, will check it. wendy's lunch time surveyzop.com

Re: GMM instruments in PROC MODEL

SASCom1 — Fri, 11 Mar 2022 17:48:26 GMT

You can specify different set of instruments for different equations using the following syntax in INSTRUMENTS statement:

INSTRUMENTS (equation, variables)(equation, variables)…;

This is discussed in the Syntax-->INSTRUMENTS Statement section of PROC MODEL documentation:

https://go.documentation.sas.com/doc/en/etsug/15.2/etsug_model_sect045.htm

in particular, the third form of the INSTRUMENTS statement syntax in the documentation corresponds to the case with different instruments specified for different equations.

I hope this helps.