https://communities.sas.com/t5/SAS-Software-for-Learning/How-do-I-do-first-stage-generalized-method-of-moments-GMM-with/m-p/854146#M905 <P>Hi everyone,</P><P>&nbsp;</P><P>I am using <SPAN>SAS OnDemand for Academics.&nbsp;</SPAN></P><P>&nbsp;</P><P>Right now I am doing generalized method of moments(GMM) in my research paper since GMM is a natural fit for asset pricing theories. But I didn't find a lot of options for gmm under proc model. From my understanding,&nbsp;the default “fit…/gmm” is doing two step GMM and my code works well for this. But I want to check the&nbsp;first stage GMM as well.</P><P>&nbsp;</P><P>Could you please help me with this question?&nbsp;I want to know how to do one step GMM, for example one step GMM with identical weighting matrix.</P><P>&nbsp;</P><P>Thank you so much!</P><P>Stellalala</P> Tue, 17 Jan 2023 16:53:46 GMT stellalala 2023-01-17T16:53:46Z https://communities.sas.com/t5/SAS-Software-for-Learning/How-do-I-do-first-stage-generalized-method-of-moments-GMM-with/m-p/854146#M905 <P>Hi everyone,</P><P>&nbsp;</P><P>I am using <SPAN>SAS OnDemand for Academics.&nbsp;</SPAN></P><P>&nbsp;</P><P>Right now I am doing generalized method of moments(GMM) in my research paper since GMM is a natural fit for asset pricing theories. But I didn't find a lot of options for gmm under proc model. From my understanding,&nbsp;the default “fit…/gmm” is doing two step GMM and my code works well for this. But I want to check the&nbsp;first stage GMM as well.</P><P>&nbsp;</P><P>Could you please help me with this question?&nbsp;I want to know how to do one step GMM, for example one step GMM with identical weighting matrix.</P><P>&nbsp;</P><P>Thank you so much!</P><P>Stellalala</P> Tue, 17 Jan 2023 16:53:46 GMT https://communities.sas.com/t5/SAS-Software-for-Learning/How-do-I-do-first-stage-generalized-method-of-moments-GMM-with/m-p/854146#M905 stellalala 2023-01-17T16:53:46Z