08-23-2015 09:52 PM
I am seeking assistance with estimating a Poisson model in SAS for panel data. The model includes lagged counts and (multiplicative) individual fixed effects.
I believe the estimator I need is a GMM estimator that uses non-linear instrumental variables. The relevant references are Chamberlain (1992: Comment -- Sequential Moment Restrictions in Panel Data, Journal of Business and Economic Statistics), or Wooldridge (1997: Multiplicative Panel Data Models without the Strict Exogeneity Assumption, Econometric Theory).
Suggestions about how to estimate such a model in SAS are greatly appreciated.