Hi everyone,
I am using SAS OnDemand for Academics.
Right now I am doing generalized method of moments(GMM) in my research paper since GMM is a natural fit for asset pricing theories. But I didn't find a lot of options for gmm under proc model. From my understanding, the default “fit…/gmm” is doing two step GMM and my code works well for this. But I want to check the first stage GMM as well.
Could you please help me with this question? I want to know how to do one step GMM, for example one step GMM with identical weighting matrix.
Thank you so much!
Stellalala
