GMM CODE FOR PANEL DATA

[karanfil]

I need help to run GMM for panel data. I have SAS version 9.3/9.4 . 

Here is the model.

Total ESG Score = β0 + β1lag_Total_ESG_SCORE + β2Board_Busyness + β3Board_Controls + β4Firm_Controls + (Firm Indicators) + (Year Indicators) + ε

I appreciate any help.

[SASCom1]

Hi, it looks like you have asked this question and it has been answered. If you are asking this question again because you are using an earlier version of SAS and the example code for dynamic panel model given in the link in previous answer is for newer release than you are using, then you can go to the documentation for the specific release you are using for the same example, as the syntax for dynamic panel model changed significantly before and after release SAS 9.4TS1M5. For example, if you are using SAS 9.4TS1M4(SAS/ETS 14.2), the same example for dynamic panel model estimation for that release can be found at:

https://go.documentation.sas.com/doc/en/etscdc/14.2/etsug/etsug_panel_examples07.htm

However with that said, it is strongly recommended that you upgrade to the most current release since earlier release may have unfixed bugs and you can use more enhanced features in the procedure and other procedures if you upgrade your release.

I hope this helps.