GMM starting values

yongseokkim — Thu, 12 Apr 2018 02:20:51 GMT

Hi,

I'm used to R but a newbie for SAS.

When it comes to GMM Estimation,

How SAS set its starting values of parameters to minimize criterion function?

For example, in R, I need to set moment conditions and starting values for parameters to minimize criterion function, but I find that SAS do not require users to set starting values, as far as I know.

Since estimates are very sensitive to starting values, I wonder how SAS sets its starting values so that I can get the same estimates between R and SAS.

Re: GMM starting values

Rick_SAS — Mon, 16 Apr 2018 18:07:47 GMT

Hi, welcome to SAS. I assume by GMM you mean "generalized mixed models"? Which procedure are you using?

The documentation of all the procedures is online and quite extensive. The procedure that most people use for generalized linear mixed models is the GLIMMIX procedure. You can use the PARMS statement to set initial values (and bounds) for parameters.

topic GMM starting values in Statistical Procedures

GMM starting values

Re: GMM starting values