SAS/ETS 9.22 User's Guide 134

SAS/Ets User's Guide 134. Provides detailed reference material for using SAS/ETS software and guides you through the analysis and forecasting of features such as univariate and multivariate time series, cross-sectional time series, seasonal adjustments, multiequational nonlinear models, discrete choice models, limited dependent variable models, portfolio analysis, and generation of financial reports, with introductory and advanced examples for each procedure. You can also find complete information about two easy-to-use point-and-click applications: the Time Series Forecasting System, for automatic and interactive time series modeling and forecasting, and the Investment Analysis System, for time-value of money analysis of a variety of investments | 1322 F Chapter 19 The PANEL Procedure INSTRUMENT Statement INSTRUMENTS options The INSTRUMENTS statement denotes which variables are used in the moment condition equations of the dynamic panel estimator. The following options can be used with the INSTRUMENTS statement. CONSTANT includes an intercept column of ones as an uncorrelated exogenous instrument. DEPVAR specifies that a dependent variable be used at an appropriate lag as an instrument. CORRELATED var able. variable . variable specifies a list of variables correlated with the error term. These variables are not used in forming moment conditions from level equations. EXOGENOUS variable variable . variable specifies a list of variables that are not correlated with the error term. PREDETERMINED variable variable . variable specifies a list of variables whose future realizations can be correlated with the error term but whose present and past realizations are not. If a variable listed in the EXOGENOUS list is not included in the CORRELATED list then it is considered to be uncorrelated to the error term. For example in the following statements the exogenous instruments are Z1 Z2 and X1. Z1 is an instrument that is correlated to the individual fixed effects. proc panel data a inst exogenous Z1 Z2 X1 correlated Z1 constant depvar model Y X1 X2 X3 gmm run For a detailed discussion of the model set up and the use of the INSTRUMENTS statement see Dynamic Panel Estimator on page 1352. Note that for each MODEL statement one INSTRUMENT statement is required. In other words if there are two models to be estimated by using GMM within one PANEL procedure then there should be two INSTRUMENT statements. For example proc panel data test inst depvar pred x1 x2 exog x3 x4 x5 correlated x3 x4 x5 model y y_1 x1 x2 gmm maxband 6 nolevels ginv g4 artest 5 inst pred x2 x4 exog x3 x5 correlated x3 x4 model y y_1 x2 gmm maxband 6 nolevels ginv g4 artest 5 id cs ts run LAG ZLAG XLAG SLAG or CLAG Statement F 1323 LAG ZLAG XLAG SLAG or .

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