01-10-2015 03:21 PM
I am trying to estimate a very simple model in PROC ROBUSTREG. I have 280 observations, several continuous independent variables and one categorical variable with 20 levels. PROC ROBUSTREG works when I use METHOD=M. However, when I use any other method (S or MM or TLS), I get the following error message.
ERROR: The current S estimation failed because its resampling process can not collect sufficient computable samples.
When I drop the categorical variable from the model, PROC ROBUSTREG works again. Does anyone know what this error message means and/or how to circumvent this error?
01-12-2015 08:33 AM
From the documentation of the METHOD= option (highlight added):
Note: Because the LTS and S methods use subsampling algorithms, these methods are not suitable in an analysis that uses variables that have only a few unequal values or a few unequal values within one BY group. For example, indicator variables that correspond to a classification variable often fall into this category. The same issue also applies to the initial LTS and S estimates in the MM method. For a model that includes classification independent variables or continuous independent variables with a few unequal values, the M method is recommended.
The circumvention is, unfortunately, to not use the subsampling methods.