Help with the cross-sectional regression and GMM

[thdang]

Thanks for your advices

[Renjian]

hello Thdang:

I want to do the same thing in sas.

I want to do the linear beta representation using GMM.

I figure that what you wanted do following Cochrane's book.

(1) run a time-series to get the betas

(2) run a cross-sectional to get the risk premia with betas being the right-hand variable

I would like to know if you figure out a way doing it in sas?

I have tried various things but nothing seems to work.

Thank you in advance.