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How to get covariance matrix assuming heteroscedasticity in surveyreg/GLM?

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Contributor
Posts: 60

How to get covariance matrix assuming heteroscedasticity in surveyreg/GLM?

Hi, all,

I am trying to get asymptotic covariance matrix of estimates assuming heteroscedasticity in surveyreg or GLM procedure. It seems there is an ACOV option is REG procedure.

Is there any similar option in surveyreg / GLM?

Many thanks!

N/A
Posts: 1

Re: How to get covariance matrix assuming heteroscedasticity in surveyreg/GLM?

Hello,

Did you ever work this out?

I'm having a similar problem with needing to create a covariance matrix in surveyreg.

Thanks!

Respected Advisor
Posts: 2,655

Re: How to get covariance matrix assuming heteroscedasticity in surveyreg/GLM?

The COVB option in the model statement will give the covariance matrix of the estimates.  Also available are the X'X and inverseX'X.  If there are weights, then these involve the weight matrix as well.  Right off hand, I don't see a way to model heteroscedasticity in SURVEYREG though, so these are likely homogeneous variance estimates.

Steve Denham
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