topic Re: How to fit a numerical integral by GMM ? in SAS Procedures https://communities.sas.com/t5/SAS-Procedures/How-to-fit-a-numerical-integral-by-GMM/m-p/49264#M13362 Thank for your advice. The problem at hand is actually on parameter estimation on Heston and Nandi model and Christoffersen model on garch option pricing. I can't find the ERS documentation... is it a typo and should be ETS? and I can't find example 17.10 ...<BR /> <BR /> The documentation I have at hand is SAS/ETS 9.1 User Guide.<BR /> <BR /> Can you post a relevant link? Thanks Sun, 28 Sep 2008 18:01:16 GMT deleted_user 2008-09-28T18:01:16Z How to fit a numerical integral by GMM ? https://communities.sas.com/t5/SAS-Procedures/How-to-fit-a-numerical-integral-by-GMM/m-p/49262#M13360 I need help on how to fit a model by GMM on a nonlinear numerical integral with parameters to be optimized. It seems SAS can only fit an equation at first glance. Any suggestion?　any sample codes? Tue, 23 Sep 2008 19:36:31 GMT https://communities.sas.com/t5/SAS-Procedures/How-to-fit-a-numerical-integral-by-GMM/m-p/49262#M13360 deleted_user 2008-09-23T19:36:31Z Re: How to fit a numerical integral by GMM ? https://communities.sas.com/t5/SAS-Procedures/How-to-fit-a-numerical-integral-by-GMM/m-p/49263#M13361 It might not fit exactly what you want, but...<BR /> <BR /> PROC MODEL is capable of solving systems of differential equations by a variety of numerical integration techniques. Example 17.10 in the ERS documentation optimizes 5 base ODEs and 36 PDEs in the parameters. <BR /> <BR /> How well it optimizes the parameters will boil down to how much data, how much noise, and how well the model is specified.<BR /> <BR /> Good luck. Fri, 26 Sep 2008 14:26:29 GMT https://communities.sas.com/t5/SAS-Procedures/How-to-fit-a-numerical-integral-by-GMM/m-p/49263#M13361 SteveDenham 2008-09-26T14:26:29Z Re: How to fit a numerical integral by GMM ? https://communities.sas.com/t5/SAS-Procedures/How-to-fit-a-numerical-integral-by-GMM/m-p/49264#M13362 Thank for your advice. The problem at hand is actually on parameter estimation on Heston and Nandi model and Christoffersen model on garch option pricing. I can't find the ERS documentation... is it a typo and should be ETS? and I can't find example 17.10 ...<BR /> <BR /> The documentation I have at hand is SAS/ETS 9.1 User Guide.<BR /> <BR /> Can you post a relevant link? Thanks Sun, 28 Sep 2008 18:01:16 GMT https://communities.sas.com/t5/SAS-Procedures/How-to-fit-a-numerical-integral-by-GMM/m-p/49264#M13362 deleted_user 2008-09-28T18:01:16Z