I am trying to obtain variance covariance matrix from proc glm. I know in R we have vcov funtio

[ndang3188]

proc glm data=outmi;

   by _imputation_;

  class TRT02PN;

  model W24CHG=TRT02PN/solution;

  means TRT02PN /hovtest=leven(type=abs);

  ods output ParameterEstimates=coeff;

run;

I am trying to obtain variance covariance matrix of the Estimates and don't know what line of code I should you.

[sbxkoenk]

Home > Analytics > Stat Procs > Covariance of Coefficients
https://communities.sas.com/t5/Statistical-Procedures/Covariance-of-Coefficients/td-p/409714

Koen

[SteveDenham]

What do you see when you add the inverse option to the model statement:

proc glm data=outmi;
   by _imputation_;
  class TRT02PN;
  model W24CHG=TRT02PN/solution inverse;
  means TRT02PN /hovtest=leven(type=abs);
  ods output ParameterEstimates=coeff;
run;

And sometimes it is easier to step away from GLM and try something like this:

proc glimmix data=outmi;
   by _imputation_;
  class TRT02PN;
  model W24CHG=TRT02PN/solution covb;
    ods output ParameterEstimates=coeff covb=covb;
run;

This is solely to get the covariance matrix for the fixed effects, and not to combine the imputations.

SteveDenham