One step GMM for panel data. I need code for one step GMM test

[karanfil]

I need to run one step GMM for panel data. Here is the model.

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

I  really appreciate it if anybody can help me with the code.

[sbxkoenk · Accepted solution]

I have moved your message to the 'SAS Forecasting and Econometric' board.

For panel data analysis with —the generalized method of moments (GMM)—, you need :

• SAS /ETS PROC PANEL (SAS 9.4) or
• SAS Econometrics PROC CPANEL (SAS VIYA)

Here's an example using the former :

SAS/ETS® 15.2 User's Guide
The PANEL Procedure
Example 26.5 Cigarette Sales Data: Dynamic Panel Estimation
https://go.documentation.sas.com/doc/en/etsug/15.2/etsug_panel_examples06.htm

Good luck,

Koen