Dear all,
I am experiencing problem on using PROC PANEL in running GMM model. I have a dataset (attached) with the following variables:
GVKEY = firm identification code
FYEAR = financial year
Samples:
DIV = dummy variable 1 or 0
Dependent variable:
RD = research & development costs, R&D
Independent variables:
RDRD = quadratic term of R&D
MB = market to book ratio
SGWTH = sales growth
CHG_WC = change of main effect
STKISSUES = stock issues
The following is my requirement s:
1. I wish to run a GMM with dependent variable, RD. lagged RD should be included as independent variable in the GMM model for two samples, DIV = 0 and DIV = 1.
2. No lagged value of the independent variables of RDRD, MB and SGWTH.
3. Lagged value of the independent variables of CHG_WC and STKISSUES are to be generated.
4. To assess instrument validity using AR and Sargan test.
I am using the following program to run the regression, however, the results were not generated due to shortage of memory:
proc sort data=want1;
by gvkey fyear;
run;
proc panel data=FC.want1;
by DIV;
id gvkey fyear;
model RD = LAGRD RDRD MB SGWTH CHG_WC STKISSUES
/ gmm nolevels twostep maxband=5 artest = 2;;
run;
I am not sure is there any problem on the above program? Can Proc Panel help to generate the lagged variables of CHG_WC and STKISSUES authomatically?
Thank you and hope to get reply soon.
MSPAK
