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Dynamic panel data estimation with SAS

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Contributor
Posts: 56

Dynamic panel data estimation with SAS

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.


Screenshot 2014-03-22 18.31.27.png
SAS Employee
Posts: 416

Re: Dynamic panel data estimation with 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

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