how to use sas to estimate panel euler equation with GMM
Posted: 06 July 2013 08:53 PM   [ Ignore ]
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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!

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Posted: 07 July 2013 09:12 PM   [ Ignore ]   [ # 1 ]
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hi KZ,

Sounds like a nightmare smile

This guy has cleanly written out the panel data estimation including GMM/Euler equation, see: http://www2.toulouse.inra.fr/lerna/chercheurs/thomas/panel DEEQA.pdf

In Exhibit 11, there is sample code to estimate GMM in Gauss; it is not the Euler equation, but maybe it is close. There is also SAS sample code, but that looks - at a quick glance - less useful for what you need.

Good luck!

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