*********************Data set*************************************;
data regdata;
do i=1 to 500;
c= rannor( 5013 );
x = rannor( 1013 );
z=x+rannor( 500 );
Y = 2 + 1.5 * x + 1.5 * rannor( 9871 ) + 0.5*c;
output;
end;
run;
*********************GMM*************************************;
proc model data=regdata;
parms a0 a1 a2;
instruments z c;
ysim=y - (a0 + a1*x + a2*c);
eq.y0=ysim;
eq.y1=ysim*x;
eq.y2=ysim*c;
fit y0 y1 y2 /gmm;
run; quit;



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