11-03-2011 10:04 PM
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!!!