hello Thdang: I want to do the same thing in sas. I want to do the linear beta representation using GMM. I figure that what you wanted do following Cochrane's book. (1) run a time-series to get the betas (2) run a cross-sectional to get the risk premia with betas being the right-hand variable I would like to know if you figure out a way doing it in sas? I have tried various things but nothing seems to work. Thank you in advance. ... View more