topic Re: White standard errors in SAS Procedures

White standard errors

kt_uwa1990 — Sat, 17 Nov 2012 00:57:32 GMT

I am trying to get white standard errors test in my logistic regression. I read a few articles on the internet and came up with the following code:

proc logistic data = LOG;

model log = lsize lprice lsales roa ato chscaled re_ta re_te bmratio indrev TAX86 TAX03/ acov;

run;

However this "/ acov" does not work. Any idea what I'm doing wrong?

Re: White standard errors

art297 — Sat, 17 Nov 2012 01:20:01 GMT

I think that would be correct if you were using proc reg. Take a look at: http://pages.stern.nyu.edu/~adesouza/comp/sas.html

Re: White standard errors

kt_uwa1990 — Sat, 17 Nov 2012 02:34:22 GMT

These are all for PROC reg how do I what to use for the logistic code?

Re: White standard errors

kt_uwa1990 — Sat, 17 Nov 2012 02:44:27 GMT

This seems to work:

data log;

set log;

counter=_n_;

run;

proc surveyreg data=log;

cluster counter;

model log = lsize lprice lsales roa ato chscaled re_ta re_te bmratio indrev;

run;

Just checking that is this appropriate for the logistic model.?

Re: White standard errors

SteveDenham — Mon, 19 Nov 2012 12:41:05 GMT

If the variable "log" is a binary variable, then you may want to look at PROC SURVEYLOGISTIC. If it is a continuous variable, then the SURVEYREG code will be a good start. Be aware, though, that it is NOT a logistic model.

Steve Denham

Re: White standard errors

kt_uwa1990 — Wed, 21 Nov 2012 12:48:18 GMT

This seems to work, just to confirm my sample size is large, so do I put counter as my cluster variable?.

data log;

set log;

counter= year;

run;

PROC SURVEYLOGISTIC data=log;

cluster counter;

model log = lsize lprice lsales roa ato escaled re_ta re_te bmratio indrev;

run;

Re: White standard errors

SteveDenham — Wed, 21 Nov 2012 13:27:34 GMT

Without knowing the data structure and sampling frame, I can't give a full answer. It does seem like a logical choice for the cluster variable, however.

Steve Denham

Re: White standard errors

jpeipert — Tue, 09 Apr 2013 18:23:05 GMT

Hi,

Just to confirm, is it correct then that proc surveyreg with a cluster variable gives White SE's? I can't find anywhere in the documentation for this procedure which actual statistic is used.

Thanks!

Devin Peipert

Re: White standard errors

SteveDenham — Tue, 09 Apr 2013 19:18:47 GMT

The default variance estimation is a Taylor series expansion. I don't think this meets the definition of White SE's. The other methods are resampling (jackknife delete one) and Fay's method for balanced replication. So far as I can tell, none of these are robust estimators of the type described by White. However, I would trust the jackknife estimator more than I would a White estimator, as there are weaker assumptions, especially regarding independence.

Steve Denham

Re: White standard errors

jpeipert — Tue, 09 Apr 2013 19:59:46 GMT

Thanks for your quick response, Steve! That is very helpful.

Regards,

Devin Peipert