CPANEL Procedure

The PREDETERMINED statement specifies a set of variables whose instruments follow a prescribed form that is appropriate for predetermined regressors and is valid only when you perform dynamic panel estimation by specifying the DYNDIFF or DYNSYS option in the MODEL statement.

If you have multiple MODEL statements, then each PREDETERMINED statement is associated with the MODEL statement that immediately precedes it.

You can specify the following option after a slash (/):

The following statements perform dynamic panel estimation by using GMM-style instruments for the endogenous variable Sales and GMM-style instruments for the predetermined variable Price. Both sets of instruments are included only in the difference equations.

proc cpanel data =  mylib.a;
   id firm year;
   model Sales = Price / dyndiff;
   endogenous Sales / eq = diff;
   predetermined Price / eq = diff;
run;

You can also specify classification variables, interactions, and nested effects in the PREDETERMINED statement. For more information about constructing model effects, see the section Specification and Parameterization of Model Effects in Chapter 4, Shared Concepts.