Dynamic panel data estimation with SAS

[BchBnz]

Hello,

I hope you are having a Monday.

I have been trying to run a 2-step GMM with SAS to estimate my dynamic panel data but it seems that I am doing something wrong.

I attached a picture of what my data looks like.

So basically I have intraday observations over a number days for different contracts. My time series are set by the "start" variable which goes 08:05- 08:10 - 08:15-... My cross-section is between different contracts. 

This is the procedure that I used but it is not working:

proc panel data=basvoldum_short_lond;

inst depvar;

model BASw = tod1-tod105 / gmm nolevels twostep;

id cnt start;

run;

Any suggestions?

Sorry for taking your time and thank you for your tremendous help.

[udo_sas]

Hello -

You may want to check out this example as a starting point:

http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_panel_sect054....

Thanks,

Udo