各位大虾有了解的吗？

朋友，你最后解决了么，我也准备用sas做gmm估计的多元线性回归，向你请教。
谢谢

如果只是线性回归的话，GMM有显示解，是一些数据矩阵的乘积，用proc iml就能进行运算，GMM的渐进方差和常见的统计量也可以用类似方法求解

PROC model in SAS ETS pakeage can handle GMM estimation. Here is an example,

http://support.sas.com/rnd/app/examples/ets/emmweb/index.htm

GMM Estimation
If the form of the heteroscedasticity is unknown, generalized method of moments
estimation (GMM) can be used. The following PROC MODEL statements use GMM
to estimate the example model used in the preceding section:
proc model data=test;
parms b1 0.1 b2 0.9;
y = 250 * ( exp( -b1 * t ) - exp( -b2 * t ) )
fit y / gmm;
instruments b1 b2;
run;
GMM is an instrumental method, so instrument variables must be provided.