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Estimating nonlinear Euler equation by GMM with panel data using model proc

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Occasional Contributor
Posts: 5

Estimating nonlinear Euler equation by GMM with panel data using model proc

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?
SAS Employee
Posts: 416

Re: Estimating nonlinear Euler equation by GMM with panel data using model proc

Posted in reply to Steve_Shanghai
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
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