GMM Estimation

mspak — Wed, 09 Nov 2016 13:06:14 GMT

Dear all,

I am experiencing problem on using PROC PANEL in running GMM model. I have a dataset (attached) with the following variables:

GVKEY = firm identification code

FYEAR = financial year

Samples:

DIV = dummy variable 1 or 0

Dependent variable:

RD = research & development costs, R&D

Independent variables:

RDRD = quadratic term of R&D

MB = market to book ratio

SGWTH = sales growth

CHG_WC = change of main effect

STKISSUES = stock issues

The following is my requirement s:

1. I wish to run a GMM with dependent variable, RD. lagged RD should be included as independent variable in the GMM model for two samples, DIV = 0 and DIV = 1.

2. No lagged value of the independent variables of RDRD, MB and SGWTH.

3. Lagged value of the independent variables of CHG_WC and STKISSUES are to be generated.

4. To assess instrument validity using AR and Sargan test.

I am using the following program to run the regression, however, the results were not generated due to shortage of memory:

proc sort data=want1;
by gvkey fyear;
run;

proc panel data=FC.want1;
by DIV;
id gvkey fyear;
model RD = LAGRD RDRD MB SGWTH CHG_WC STKISSUES
/ gmm nolevels twostep maxband=5 artest = 2;;
run;

I am not sure is there any problem on the above program? Can Proc Panel help to generate the lagged variables of CHG_WC and STKISSUES authomatically?

Thank you and hope to get reply soon.

MSPAK

Re: GMM Estimation

Ksharp — Thu, 10 Nov 2016 03:13:47 GMT

It is a question about ETS . plz post it at Forecasting Forum.

Re: GMM Estimation

mspak — Thu, 10 Nov 2016 03:39:01 GMT

Thank you Ksharp,

I have posted it at Forecasting forum.

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