I have run the exact same regression model in both GLM and Surveyreg. I then use the Contrast statement to perform an F-test for the difference between two coefficients. I am trying to figure out why the F-value is different between the two. Here is the code I run:
proc glm data=My_Data;
class CUSIP SIC2 YEAR;
model Y=X1 X2 CUSIP SIC2 YEAR / Solution;
contrast 'X1=X2' X1 1 X2 -1; run;
Output: F-value = 7.91, p-value = .0049
proc surveyreg data=My_Data;
class CUSIP SIC2 YEAR;
model Y=X1 X2 CUSIP SIC2 YEAR / Solution;
contrast 'X1=X2' X1 1 X2 -1; run;
Output: F-value = 3.93, p-value = .0474
The two regressions have the same parameter estimates, but different standard errors and t-statistics. Can you tell me what the difference is between surveyreg and GLM?
Thanks