Hi Everyone, I want to use fixed effects to estimate a model, using GMM estimation and the model consists of simultaneous equations. I am using PROC MODEL (proc panel does not support simultaneous equations) and using dummy variable to control the fixed effects. Since there are 100+ dummy variables, does that mean I need to create 100+ parameters corresponding to these 100+ dummy variables? Is there any efficient way to add the dummy variables when using PROC MODEL? Generate 100+ parameters for the dummy variable is too much burden... Suppose the simultaneous eq. model is like this: y1=a0+a1*x1+a2*x2 y2=b0+b1*x1+b2*x3 After adding the dummy variables, the model will be like this??!! y1=a0+a1*x1+a2*x2+a3*col1+a4*col2+a5*col3+....a102*col100+... y2=b0+b1*x1+b2*x3+b3*col1+b4*col2+b5*col3+....b102*col100+... Is there any easy way to write the dummy variables and the corresponding parameters, like col1-c100 in PROC MODEL? Thanks very much. Alice.
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