I am using a data set that consists of observations over 20 years and 18 cohorts (age groups). I need to use a GMM method since it is a dynamic equation. However, I have to model two regressions at once, and I am really quite not sure how I do that with proc panel? Do I repeat the model statement twice? Any help will be greatly appreciated! Here come the eqautions and the RESTRICTIONS.
Since I have 18 cohorts, I would like to regress this for EACH cohort (each group age). Do I use the BY statement for that purpose?
The user has two response variables, say Y1 and Y2 and response variables X1-X4 and Z. The models are: Y1 = a1 + g11 X1 + g12 X2 + g1 X3 + b1 X4 + c1 Z + e1 Y2 = (1-a1) + g21 X1 + g22 X2 + g2 X3 + b2 X4 + c2 Z + e2
These restrictions can be imposed by redefining some variables: The first restriction can be achieved by using (X1 – X2) as a single variable in place of X1 and X2. Let us call this its coefficient as G. Now the second restriction says that the coefficient G is to be the same for the two models (Y1 and Y2).
This can be achieved in SSM by treating the regression coefficient as a state element. See the section “Regression Variable Specification in Multivariate Models” in the SSM doc (Details->Overview of Model Specification Syntax).
Similar things can be done for a,B and C parameters. The user’s models appear simple reg models. He can specify more general error structures to account for time variation if that is desired.