For normalized form equations, the OUT= data set specified in the FIT statement contains residuals, actuals, and predicted values of the dependent variables computed from the parameter estimates. For general form equations, actual values of the endogenous variables are copied for the residual and predicted values.

The variables in the data set are as follows:

The following SAS statements are used to generate and print an OUT= data set:

proc model data=gmm2;
   exogenous x1 x2;
   parms a1 a2 b2 b1 2.5 c2 55 d1;
   inst b1 b2 c2 x1 x2;
   y1 = a1 * y2 + b1 * x1 * x1 + d1;
   y2 = a2 * y1 + b2 * x2 * x2 + c2 / x2 + d1;

   fit y1 y2 / 3sls gmm out=resid outall ;
run;

proc print data=resid(obs=20);
run;

The data set GMM2 was generated by the example in the preceding ESTDATA= section above. A partial listing of the RESID data set is shown in Figure 19.69.

The OUTEST= data set contains parameter estimates and, if requested, estimates of the covariance of the parameter estimates.

The variables in the data set are as follows:

If the COVOUT option is specified, an additional observation is written for each row of the estimate of the covariance matrix of parameter estimates, with the _NAME_ values that contain the parameter names for the rows. Parameter names longer than 32 characters are truncated.

The option OUTPARMS= writes all the parameter estimates to an output data set. This output data set contains one observation and is similar to the OUTEST= data set, but it contains all the parameters, is not associated with any FIT task, and contains no covariances. The OUTPARMS= option is used in the PROC MODEL statement, and the data set is written at the end, after any FIT or SOLVE steps have been performed.

The OUTS= SAS data set contains the estimate of the covariance matrix of the residuals across equations. This matrix is formed from the residuals that are computed by using the parameter estimates.

The variables in the OUTS= data set are as follows:

Each observation contains a row of the covariance matrix. The data set is suitable for use with the SDATA= option in a subsequent FIT or SOLVE statement. (See the section Tests on Parameters in this chapter for an example of the SDATA= option.)

The OUTSUSED= SAS data set contains the covariance matrix of the residuals across equations that is used to define the objective function. The form of the OUTSUSED= data set is the same as that for the OUTS= data set.

Note that OUTSUSED= is the same as OUTS= for the estimation methods that iterate the S matrix (ITOLS, IT2SLS, ITSUR, and IT3SLS). If the SDATA= option is specified in the FIT statement, OUTSUSED= is the same as the SDATA= matrix read in for the methods that do not iterate the S matrix (OLS, SUR, N2SLS, and N3SLS).

The OUTV= data set contains the estimate of the variance matrix, . This matrix is formed from the instruments and the residuals that are computed by using the final parameter estimates obtained from the estimation method chosen.

An estimate of obtained from 2SLS is used in GMM estimation. Hence if you input the dataset obtained from the OUTV statement in 2SLS into the VDATA statement while fitting GMM, you get the same result by fitting GMM directly without specifying the VDATA option.