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Article #684Re: SAS: White Heteroskedasticity-Consistent Standard Errors Wanted
From: Ivo Welch
Date: Tue, 29 Dec 1992 18:24
Date: Tue, 29 Dec 1992 18:24
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1229 bytes
Thanks to Shinichi Sakata (and other references), I now know that SAS has added an "ACOV" option to proc reg after about version 6.06. Hallelujah! Furthermore, in the test statement of Proc Reg, the option SPEC allows one to use Heteroskedasticity consistent estimates. /ivo In article <1992Dec28.222415.19246@mic.ucla.edu> iwelch@agsm.ucla.edu (Ivo Welch) writes: > >Is there a routine that produces White Heteroskedasticity >consistent standard errors for regressions in SAS? > >/ivo welch > >PS: Actually, this is a pretty basic correction, used in many >papers in my area. Without something equivalent (e.g. a >jack-knife), SAS regression results are almost unpublishable.
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arc1-ca.pugleaf.net!sparky!uunet!dtix!darwin.sura.net!gatech!emory!swrinde!elroy.jpl.nasa.gov!ucla-cs!ucla-mic!agsm!iwelchReferences:
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Path: arc1-ca.pugleaf.net!sparky!uunet!dtix!darwin.sura.net!gatech!emory!swrinde!elroy.jpl.nasa.gov!ucla-cs!ucla-mic!agsm!iwelch From: iwelch@agsm.ucla.edu (Ivo Welch) Newsgroups: sci.math.stat Subject: Re: SAS: White Heteroskedasticity-Consistent Standard Errors Wanted Message-ID: <1992Dec29.102446.25292@mic.ucla.edu> Date: 29 Dec 92 18:24:45 GMT References: <1992Dec28.222415.19246@mic.ucla.edu> Organization: UCLA, Anderson Graduate School Of Management Lines: 18 Nntp-Posting-Host: risc.agsm.ucla.edu