Duration Data Model with Unobserved Heterogeneity
/*--------------------------------------------------------------
SAS Sample Library
Name: modex18.sas
Description: Example program from SAS/ETS User's Guide,
The MODEL Procedure
Title: Duration Data Model with Unobserved Heterogeneity
Product: SAS/ETS Software
Keys: nonlinear simultaneous equation models
PROC: MODEL
Notes:
--------------------------------------------------------------*/
title1 'SMM for Duration Model with Unobserved Heterogeneity';
%let nobs=1000;
data durationdata;
b=0.9; s=0.5;
do i=1 to &nobs;
u = rannor( 1011 );
v = ranuni( 1011 );
x = 2 * ranuni( 1011 );
y = -exp(-b * x + s * u) * log(v);
output;
end;
run;
proc model data=durationdata;
parms b .5 s 1;
instrument x;
u = rannor( 1011 );
v = ranuni( 1011 );
y = -exp(-b * x + s * u) * log(v);
moment y = (2 3 4);
fit y / gmm ndraw=10 ;* maxiter=500;
bound s > 0, b > 0;
run;