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stellalala
Calcite | Level 5 stellalala
Calcite | Level 5

How do I do first stage generalized method of moments(GMM) with identical weighting matrix

Posted 01-17-2023 11:53 AM (599 views)

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

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  • ‎01-17-2023 11:53 AM
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