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Article #788Re: SAS: White Heteroskedasticity-Consistent Standard Errors Wanted
From: Ivo Welch
Date: Mon, 04 Jan 1993 19:20
Date: Mon, 04 Jan 1993 19:20
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Well, let me correct my last statement(s). Yes, SAS can compute the White (1980) heteroskedasticity-adjusted covariance matrix. However, it can neither [a] output this matrix to a data set for further processing nor [b] use it to compute White se's or T-stats Essentially, this procedure is infeasible for anything but small data problems. If you have 2,000 coefficients, be prepared to wade through 4 million numbers, and compute the square root of 2,000 of them by hand. (Of course, I could start learning IML programming, and compute everything myself. However, if I have to program, my preference is to do so in other languages [e.g. C, Fortran, Gauss,...] instead.) /ivo welch
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arc1-ca.pugleaf.net!sparky!uunet!cs.utexas.edu!zaphod.mps.ohio-state.edu!saimiri.primate.wisc.edu!ames!agate!stanford.edu!rutgers!ucla-cs!ucla-mic!agsm!iwelchReferences:
<1992Dec28.222415.19246@mic.ucla.edu> <1992Dec29.102446.25292@mic.ucla.edu>Show Full Headers
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Path: arc1-ca.pugleaf.net!sparky!uunet!cs.utexas.edu!zaphod.mps.ohio-state.edu!saimiri.primate.wisc.edu!ames!agate!stanford.edu!rutgers!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: <1993Jan4.112016.12341@mic.ucla.edu> Date: 4 Jan 93 19:20:15 GMT References: <1992Dec28.222415.19246@mic.ucla.edu> <1992Dec29.102446.25292@mic.ucla.edu> Organization: UCLA, Anderson Graduate School Of Management Lines: 18 Nntp-Posting-Host: risc.agsm.ucla.edu