Can someome explain this example:
SAS/ETS Examples -- Estimating a Consumption-Based Asset Pricing Model
title 'Consumption-Based Asset Pricing Model';
proc model data=harvey;
endogenous conrat;
exogenous gb cb d1 d10 ;
parms beta 1.0 alpha 1.0;
/* set up lags for use as instruments */
lc1 = lag(cinst);
lc2 = lag2(cinst);
lc3 = lag3(cinst);
lc4 = lag4(cinst);
ltb1 = lag(rinst);
ltb2 = lag2(rinst);
ltb3 = lag3(rinst);
ltb4 = lag4(rinst);
/* moment conditions */
eq.h1 = beta * (1+conrat)**(-alpha) * (1+gb) - 1 ;
eq.h2 = beta * (1+conrat)**(-alpha) * (1+cb) - 1 ;
eq.h3 = beta * (1+conrat)**(-alpha) * (1+d1) - 1 ;
eq.h4 = beta * (1+conrat)**(-alpha) * (1+d10) - 1 ;
fit h1-h4 / itgmm kernel=(parzen,1,0);
instruments lc1-lc4 ltb1-ltb4 ;
ods output ParameterEstimates=parms_estimate;
run;
quit;
Beyond the example itself, what would you like explained? I would refer you to the references for the theoretical underpinning.
The model itself is ITGMM which is a method of consistently estimating parameters in the presence of endogenous regressors. Watch this video for an explanation.
What is Generalized Method of Moments? by Alastair Hall - YouTube
Registration is open! SAS is returning to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team. Register for just $495 by 12/31/2023.
If you are interested in speaking, there is still time to submit a session idea. More details are posted on the website.
Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.
Find more tutorials on the SAS Users YouTube channel.