SAS Forecasting and Econometrics

Forecasting using SAS Visual Forecasting, SAS Forecast Server, SAS Econometrics and more
BookmarkSubscribeRSS Feed
Steve_Shanghai
Calcite | Level 5
Proc model can be used to estimate nolinear regression by GMM such as Euler equation derived from CCAPM. In order to get efficient estimator, weighing matrix need to be estimatied from data. Weighting matrix in GMM can be estimated directly for cross-sectional data without autocorrelation, and estimated using Newey-West covariance matrix for time-series data. How to get weighting matrix for panel data?
1 REPLY 1
udo_sas
SAS Employee
Hello -
As far as I can tell while the MODEL procedure supports GMM estimation, it is not
designed for panel data. Did you have a look at the PANEL procedure instead?
This example might be of interest: http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_panel_sect054....
Thanks!
Udo

sas-innovate-white.png

Our biggest data and AI event of the year.

Don’t miss the livestream kicking off May 7. It’s free. It’s easy. And it’s the best seat in the house.

Join us virtually with our complimentary SAS Innovate Digital Pass. Watch live or on-demand in multiple languages, with translations available to help you get the most out of every session.

 

Register now!

Discussion stats
  • 1 reply
  • 1423 views
  • 0 likes
  • 2 in conversation