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rpg163
Calcite | Level 5

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?

5 REPLIES 5
FriedEgg
SAS Employee

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

Doc_Duke
Rhodochrosite | Level 12

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

rpg163
Calcite | Level 5

THX,

Well, it seems I have to update my SAS

rpg163
Calcite | Level 5

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

and do this option works in surveyreg?

FriedEgg
SAS Employee

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.

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