Have you tried to do the structural estimation in “Dynamic Models and Structural Estimation in Corporate Finance” by Ilya A. Strebulaev and Toni M. Whited (2011)? The main idea is to build a euler equation on investment and use GMM to estimate the parameters. In page 101 they said,” Euler estimation with panel data can be accomplished with a variety of different statistical packages, such as Stata or SAS, so that implementing this kind of estimation is straightforward”. However, I can’t find any procedure in SAS can handle the nonlinear panel data. Would you like to give me an example or hint?

Thanks!