🚀 go-pugleaf

In article <1992Dec29.102446.25292@mic.ucla.edu>,
iwelch@agsm.ucla.edu (Ivo Welch) writes:
>
>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?
>>
>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!
>
    Those people still using SAS 5.18 will be glad to know that the
option is available in that version also. You specify it on the
MODEL statement:

   MODEL A=B / ACOV;
>>
>>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.
>
    Yes, but remember that White's procedure controls for an
unspecified form of heteroscedasticity. If you think you know the
form of heteroscedasticity, something like weighted least squares
may be more appropriate.
--
Arnie Cowan                      |   k1.arc@isumvs.bitnet
Assistant Professor of Finance   |   arnie@iastate.edu
Iowa State University            |