obtaining random effect estimates with proc tmodel

RBA — Tue, 21 Mar 2023 14:22:40 GMT

Hello, I am trying to use tmodel to estimate a demand model with endogenous prices and a random price coefficient. It works, but I have not been able to find the command to produce empirical bayes estimates of the random effects and to put them into a SAS data set. Here is my code:

proc tmodel data=some_data_file outparms=some_output_file;
crosssection upc  ;
endogenous logPrice;
parms a -2
b0 -2
s2u .1;
instruments logpriceInst;
logUnitSales = a + (b0 + b1)*logPrice;
performance nthreads = 8;
random b1 ~ normal(0, s2u);
fit logUnitSales ;
run;
QUIT;

So far, it does create a file with the estimated fixed effects but not the random effects. Thanks in advance.

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obtaining random effect estimates with proc tmodel