GMM instruments in PROC MODEL

[Leo123]

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!

[ChrisNZ]

Thread retitled and moved.

[celalsur]

where it is moved ?

[ChrisNZ]

It was moved to the procedures community in an effort to help since you did not get any reply on the programming community.

[celalsur]

Thanks for your quick reply, will check it.  wendy's lunch time surveyzop.com

[SASCom1 · Accepted solution]

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.