Programming the statistical procedures from SAS

How to use matrix computation to describe moment condition equations in proc model?

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New Contributor mht
New Contributor
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How to use matrix computation to describe moment condition equations in proc model?

Hi I have this trouble and hope to get your helps.

I use proc model to conduct GMM estimation. In doing so, I need to specify moment condition equations (e.g., eq.h1= a+b*return2 - return1) in proc model. But in my analysis, I need to do matrix computation to describe the moment condition equation, while it seems that in proc model, I can only specify the moment condition equation by using scalar. Hence it is extremely hard for me to specify the moment condition equation that involve say an invesion of a 4 by 4 matrix. Do you guys know whether there are some ways to use matrix computation in proc model or some alternative way for me to conduct gmm estimation in SAS?

Thanks a lot!!!

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