03-24-2014 07:12 PM
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;
model BASw = tod1-tod105 / gmm nolevels twostep;
id cnt start;
Sorry for taking your time and thank you for your tremendous help.
03-28-2014 11:11 AM
You may want to check out this example as a starting point: