If you are not dealing with ill-behaved data and/or with a small sample, there are many other ways (besides PROC ENTROPY) to deal with heteroskedasticity in regression residuals.
See here:
131-2007: Skewness, Multicollinearity, Heteroskedasticity – You Name It, Cost Data Have It! Solutions to Violations of Assumptions of the Ordinary Least Squares Regression Model Using SAS® Skewness, Multicollinearity, Heteroskedasticity - You Name It, Cost Data Have It! Solutions to Violations of Assumptions of Ordinary Least Squares Regression Models Using SAS® Leonor Ayyangar -- Health Economics Resource Center (HERC) VA Palo Alto Health Care System Menlo Park, CA (a SAS Global Forum 2007 paper, but still valid info of course)
60848 - A Simple Regression Model with Correction of Heteroscedasticity (application of SAS/ETS PROC MODEL)
Ciao, Koen
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