GMM - Heteroscedasticity

cd2011 — Fri, 23 Sep 2011 16:02:20 GMT

Hi,

I am running a GMM with proc model to correct for heteroscedasticity, but I am having some trouble understanding the SAS diagnostics. My code looks something like that,

1. proc model data=test;

2. parms const a b c;

3. instruments vara varb varc ;

4. y= const+ a*vara+b*varb+c*varc;

5. fit y / white breusch =(1 vara varb varc );

6. fit y / GMM white breusch =(1 vara varb varc );

run;

My understanding is that step 5 gives simple ols results and breush pegan test will show heteroscedasticity if there is any.

but step 6 corrects for heteroscedasticity and hence will give same parameter estimates as step 5 but different standard errors, but breusch-pegan step at this point should show no heteroscedastictiy.

But in my application I see exact same breusch-pegan test value from step 5 and step 6. Am I wrong in interpreting it or am I doing something wrong?

Thanks for any help.

GMM - Heteroscedasticity

cd2011 — Fri, 23 Sep 2011 20:38:38 GMT

As it turns out, I was infact mis-interpreting the results. The data is still heteroscedastic, GMM is only giving heteroscedastic-consistent variance covarince matrix.

topic GMM - Heteroscedasticity in Statistical Procedures

GMM - Heteroscedasticity

GMM - Heteroscedasticity