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Fixed Effects Dynamic Model for Count Data (Panel)

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Fixed Effects Dynamic Model for Count Data (Panel)


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.


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