topic Re: How to get covariance matrix assuming heteroscedasticity in surveyreg/GLM? in SAS Procedures https://communities.sas.com/t5/SAS-Procedures/How-to-get-covariance-matrix-assuming-heteroscedasticity-in/m-p/91540#M26105 <HTML><HEAD></HEAD><BODY><P>The COVB option in the model statement will give the covariance matrix of the estimates.&nbsp; Also available are the X'X and inverseX'X.&nbsp; If there are weights, then these involve the weight matrix as well.&nbsp; Right off hand, I don't see a way to model heteroscedasticity in SURVEYREG though, so these are likely homogeneous variance estimates.</P><P></P><P>Steve Denham<BR />.</P></BODY></HTML> Wed, 05 Aug 2015 12:35:44 GMT SteveDenham 2015-08-05T12:35:44Z How to get covariance matrix assuming heteroscedasticity in surveyreg/GLM? https://communities.sas.com/t5/SAS-Procedures/How-to-get-covariance-matrix-assuming-heteroscedasticity-in/m-p/91538#M26103 <HTML><HEAD></HEAD><BODY><P>Hi, all,</P><P>I am trying to get asymptotic covariance matrix of estimates assuming heteroscedasticity in <EM><STRONG>surveyreg</STRONG></EM> or <STRONG><EM>GLM</EM></STRONG> procedure. It seems there is an <STRONG><EM>ACOV </EM></STRONG>option is <STRONG><EM>REG</EM></STRONG> procedure.</P><P>Is there any similar option in <EM><STRONG>surveyreg / GLM</STRONG></EM>?</P><P>Many thanks!</P></BODY></HTML> Sat, 21 Apr 2012 07:23:40 GMT https://communities.sas.com/t5/SAS-Procedures/How-to-get-covariance-matrix-assuming-heteroscedasticity-in/m-p/91538#M26103 rpg163 2012-04-21T07:23:40Z Re: How to get covariance matrix assuming heteroscedasticity in surveyreg/GLM? https://communities.sas.com/t5/SAS-Procedures/How-to-get-covariance-matrix-assuming-heteroscedasticity-in/m-p/91539#M26104 <HTML><HEAD></HEAD><BODY><P>Hello,</P><P></P><P>Did you ever work this out? </P><P>I'm having a similar problem with needing to create a covariance matrix in surveyreg. </P><P>Thanks!</P></BODY></HTML> Mon, 03 Aug 2015 16:07:16 GMT https://communities.sas.com/t5/SAS-Procedures/How-to-get-covariance-matrix-assuming-heteroscedasticity-in/m-p/91539#M26104 syn216 2015-08-03T16:07:16Z Re: How to get covariance matrix assuming heteroscedasticity in surveyreg/GLM? https://communities.sas.com/t5/SAS-Procedures/How-to-get-covariance-matrix-assuming-heteroscedasticity-in/m-p/91540#M26105 <HTML><HEAD></HEAD><BODY><P>The COVB option in the model statement will give the covariance matrix of the estimates.&nbsp; Also available are the X'X and inverseX'X.&nbsp; If there are weights, then these involve the weight matrix as well.&nbsp; Right off hand, I don't see a way to model heteroscedasticity in SURVEYREG though, so these are likely homogeneous variance estimates.</P><P></P><P>Steve Denham<BR />.</P></BODY></HTML> Wed, 05 Aug 2015 12:35:44 GMT https://communities.sas.com/t5/SAS-Procedures/How-to-get-covariance-matrix-assuming-heteroscedasticity-in/m-p/91540#M26105 SteveDenham 2015-08-05T12:35:44Z