Where Y2 is the endogenous regressor in eqn. (1) and Y1 is endogenous regressor in eqn. (2). X1 and X2 are sets of included exogenous regressors in each equation respectively (X1 & X2 may also have some common variables). L1 is the set of excluded exogenous variables or instrumental variables for Y2 in eqn. (1) and L2 is the set of excluded exogenous variables or instrumental variables for Y1 in eqn. (2). e1 & e2 are independent but heteroskedastic errors.
(1) Can anyone tell me how to do SIMULTANEOUS EQUATIONS GMM estimation in SAS?
I have seen examples using the Klein model in SAS-ETS website but I could not understand what variables to supply under the option 'INSTRUMENTS'. Do I have to feed in all the included & excluded exogenous variables in there?
Here is the example:
proc syslin data=klein outest=b liml;
endogenous c p w i x wsum k y;
instruments klag plag xlag wp g t yr;
consume: model c = p plag wsum;
invest: model i = p plag klag;
labor: model w = x xlag yr;