Can someome explain this example: SAS/ETS Examples -- Estimating a Consumption-Based Asset Pricing Model title 'Consumption-Based Asset Pricing Model'; proc model data=harvey; endogenous conrat; exogenous gb cb d1 d10 ; parms beta 1.0 alpha 1.0; /* set up lags for use as instruments */ lc1 = lag(cinst); lc2 = lag2(cinst); lc3 = lag3(cinst); lc4 = lag4(cinst); ltb1 = lag(rinst); ltb2 = lag2(rinst); ltb3 = lag3(rinst); ltb4 = lag4(rinst); /* moment conditions */ eq.h1 = beta * (1+conrat)**(-alpha) * (1+gb) - 1 ; eq.h2 = beta * (1+conrat)**(-alpha) * (1+cb) - 1 ; eq.h3 = beta * (1+conrat)**(-alpha) * (1+d1) - 1 ; eq.h4 = beta * (1+conrat)**(-alpha) * (1+d10) - 1 ; fit h1-h4 / itgmm kernel=(parzen,1,0); instruments lc1-lc4 ltb1-ltb4 ; ods output ParameterEstimates=parms_estimate; run; quit;
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