Problem Note 66014: The PANEL procedure produces incorrect results when a dynamic panel model is fit with the GMM1, GMM2, or ITGMM option
If a dynamic panel model is fit by specifying the GMM1, GMM2, or ITGMM option in the MODEL statement in the PANEL procedure, the resulting standard errors of the parameter estimates, fit statistics, and Sargan test are incorrect.
There is no circumvention for this problem.
Operating System and Release Information
| SAS System | SAS/ETS | Microsoft Windows Server 2012 R2 Std | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows Server 2012 Std | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Windows 7 Enterprise 32 bit | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Windows 7 Enterprise x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Windows 7 Home Premium 32 bit | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Windows 7 Home Premium x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Windows 7 Professional 32 bit | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Windows 7 Professional x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Windows 7 Ultimate 32 bit | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Windows 7 Ultimate x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| 64-bit Enabled AIX | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| 64-bit Enabled Solaris | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| HP-UX IPF | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Linux for x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Solaris for x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows Server 2012 R2 Datacenter | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows Server 2008 for x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows Server 2008 R2 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows Server 2008 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows 10 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows 8.1 Pro x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows 8.1 Pro 32-bit | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows 8.1 Enterprise x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows 8 Pro x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows 8 Pro 32-bit | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows 8 Enterprise x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows Server 2012 Datacenter | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows 8.1 Enterprise 32-bit | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft Windows 8 Enterprise 32-bit | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| Microsoft® Windows® for x64 | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
| z/OS | 13.1 | 14.3 | 9.4 TS1M1 | 9.4 TS1M5 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
If you specify a dynamic panel model with the GMM1, GMM2, or ITGMM option in the MODEL statement in PROC PANEL, the parameter standard errors, Sargan test statistics, and fit statistics are incorrect.
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Econometrics
SAS Reference ==> Procedures ==> PANEL
|
| Date Modified: | 2020-06-18 09:56:30 |
| Date Created: | 2020-05-19 14:11:42 |
