Programming the statistical procedures from SAS

GMM - Heteroscedasticity

Posts: 39

GMM - Heteroscedasticity


I am running a GMM with proc model to correct for heteroscedasticity, but I am having some trouble understanding the SAS diagnostics. My code looks something like that,

1. proc model data=test;

2. parms const  a b c;

3. instruments vara varb varc ;

4. y= const+ a*vara+b*varb+c*varc;

5. fit y / white breusch =(1 vara  varb varc );                                                            

6. fit y / GMM white breusch =(1 vara varb varc );                                                            


My understanding is that step 5 gives simple ols results and breush pegan test will show heteroscedasticity if there is any.

but step 6 corrects for heteroscedasticity and hence will give same parameter estimates as step 5 but different standard errors, but breusch-pegan step at this point should show no heteroscedastictiy.

But in my application I see exact same breusch-pegan test value from step 5 and step 6. Am I wrong in interpreting it or am I doing something wrong?

Thanks for any help.

Posts: 39

GMM - Heteroscedasticity

As it turns out, I was infact mis-interpreting the results. The data is still heteroscedastic, GMM is only giving heteroscedastic-consistent variance covarince matrix. 

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