I have fitted my variable (Var1) with an ITGMM regression model and would like to obtain the approximated standard error of the estimated constant (c) as an output variable. I need the standard error as a variable as I have to use it in another data step. Would I be able to do so?
proc model data=a;
fit var1/ itgmm kernel=bart method=marquardt;
instruments lag1 lag2;