12-09-2011 06:26 AM
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?
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.