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ibsulkim
Obsidian | Level 7

Hello,

 

How can I have my own weight matrix for moment conditions under proc model gmm?

 

There is "Weight" statement under proc model, however, it gives weight only to each observation. I would like to have weight for each moment condition in GMM but I couldn't find any option to do it under proc model gmm.

 

Thank you.

1 REPLY 1
Leo123
Calcite | Level 5

I have the same question and any help is appreciated!

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