Incorrect standard errors using Proc Model for 3sls estimation of weighted data with hccme option?

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Incorrect standard errors using Proc Model for 3sls estimation of weighted data with hccme option?

I am trying to estimate a model using 3sls (because of cross-equation correlation) that will account for survey weights and heteroskedasticity. I am using the following basic syntax:

 

proc model data=mydata;

   endogenous variable;

   instruments list;

   equation1;

   ....

   equation7;

   fit equation 1...equation7 / 3sls hccme=1;

   weight smplewgts;

run;

 

I have tried different options for hccme, and none of them appear to be giving me appropriate standard errors (everything's significant, which I know is not the case). I originally tried estimating the model using proc syslin since the models are indeed linear; however, I did not see an option for obtaining robust standard errors with that procedure. Any help regarding correcting the proc model syntax or on other procedures that I can look into would be much appreciated.

 

Many thanks!

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