Hi:
Possibly you've posted this question in the wrong forum???
It looks like PROC QLIM (part of SAS/ETS) does what you want:
http://support.sas.com/rnd/app/papers/qlim.pdf
It says (see the last bullet):
The experimental QLIM procedure currently supports the following models:
linear regression model with heteroscedasticity
Box-Cox regression with heteroscedasticity
binary probit and logit with heteroscedasticity
ordinal probit and logit with heteroscedasticity
simple multinomial logit
conditional logit
tobit (censored and truncated) with heteroscedasticity
You might consider contacting SAS Technical Support for more help in this regard. To contact Tech Support, go to
http://support.sas.com and in the left hand pane, click on the link entitled "Submit a Problem".
cynthia