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Hi! I am new to SAS and I was trying to implement GMM method in the model PROC.
The documentation specifies the instruments to be cross product of real valued function q and vector of instruments z.
Is there a way I can specify which particular instrument z_i to be applied to particular function q_j, instead of kronecker product all of them all at once?
Thanks in advance!
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You can specify different set of instruments for different equations using the following syntax in INSTRUMENTS statement:
INSTRUMENTS (equation, variables)(equation, variables)…;
This is discussed in the Syntax-->INSTRUMENTS Statement section of PROC MODEL documentation:
https://go.documentation.sas.com/doc/en/etsug/15.2/etsug_model_sect045.htm
in particular, the third form of the INSTRUMENTS statement syntax in the documentation corresponds to the case with different instruments specified for different equations.
I hope this helps.
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Thread retitled and moved.
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where it is moved ?
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It was moved to the procedures community in an effort to help since you did not get any reply on the programming community.
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Thanks for your quick reply, will check it. wendy's lunch time surveyzop.com
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You can specify different set of instruments for different equations using the following syntax in INSTRUMENTS statement:
INSTRUMENTS (equation, variables)(equation, variables)…;
This is discussed in the Syntax-->INSTRUMENTS Statement section of PROC MODEL documentation:
https://go.documentation.sas.com/doc/en/etsug/15.2/etsug_model_sect045.htm
in particular, the third form of the INSTRUMENTS statement syntax in the documentation corresponds to the case with different instruments specified for different equations.
I hope this helps.