01-24-2016 10:05 AM - edited 01-25-2016 10:19 AM
Dear SAS Community,
I believe there should be a simple way to run a GMM dynamic panel regression with only time fixed effect excluding cross-sectional fixed effect. I can easily do this in a STATIC panel regression using "fixonetime". But is there any way I can do this in a GMM dynammic panel regression? I currently have the following code in mind, but I think what it does is to run a panel regression with cross-sectional fixed effect included.
proc panel data=my_data plot=all printfixed; id company year; instrument depvar pred=(x_it); model y_it = y_it_1 x_it year1985-year2014 / gmm maxband=30; output out=est_panel residual=residual predicted=predicted; run;
where y_it_1 is one year lagged dependent variable and year1985-yeear2014 are year dummy variables.
Any comments will be truly appreciated and looking forward to talking with SAS Community.