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
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