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karanfil
Fluorite | Level 6

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.

 

 

1 ACCEPTED SOLUTION

Accepted Solutions
sbxkoenk
SAS Super FREQ

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

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1 REPLY 1
sbxkoenk
SAS Super FREQ

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

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