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One-way time-fixed effect in GMM dynamic panel estimation

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One-way time-fixed effect in GMM dynamic panel estimation

[ Edited ]

Dear SAS Community,


I believe there should be a simple way to run a GMM dynamic panel regression with only time fixed effect excluding cross-sectional fixed effect (one-way time-fixed effect). I can easily do this in a STATIC panel regression using "fixonetime". But is there any way I can do this in a GMM dynammic panel regression? I currently have the following code in mind, but I think what it does is to run a panel regression with cross-sectional fixed effect included.


proc panel data=my_data plot=all printfixed;
id company year;
instrument depvar pred=(x_it);
model y_it = y_it_1 x_it year1985-year2014 / gmm  maxband=30;
output out=est_panel residual=residual predicted=predicted;

where y_it_1 is one year lagged dependent variable and year1985-yeear2014 are year dummy variables.


Any comments will be truly appreciated and looking forward to hearing from you.


Thank you.



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