how to control heteroscedasticity in reg?

rpg163 · Posted 12-09-2011 06:26 AM

Hi,

I am running a regression and I want to control both heteroscedasticity (Huber-White standard errors) and cluster which means add option "robust cluster (var) " in stata

yet I want to do this in sas,

what should I do?

FriedEgg · Posted 12-09-2011 01:18 PM

Look at the WHITE option in the model statement for proc reg. This will at least help with your heteroscedasticity question.

Doc_Duke · Posted 12-09-2011 04:08 PM

You may want to look at the ROBUSTREG procedure in 9.3 as well.

rpg163 · Posted 12-11-2011 01:10 AM

THX,

Well, it seems I have to update my SAS

rpg163 · Posted 12-11-2011 01:07 AM

THX. yet proc reg seems can not control cluster at the same time.

and do this option works in surveyreg?

FriedEgg · Posted 12-11-2011 02:43 PM

Robustreg procedure is in 9.2 as well, it is not new to 9.3 (I am not aware if/of any major differences).

Not really knowing anything about stata I am going to assume the 'cluster' option has something to do with collinearity among the regressors. The model statement has options for this COLLIN, COLLINOINT. You may also want to look a ACOV instead of WHITE and COLLIN. You can also control the interactivity of variables with the ADD and DELETE statements in proc reg.