I've had the best luck by creating dummy variables for my categorical variables and using those instead, or keeping that in mind with looking at the parameter estimates and covariance matrix data sets that have been outputted. If you don't use dummy variables from the beginning, then you may need to rename the Effect variable using a combination of the categorical variable name and its various levels of values names. Order of the variable levels are important also. Make sure the rows correspond to the columns of your new covb that you may have to create. I have had to even rename the Col1 and etc... to instead "Black" and etc..., as an example, and then I was able to get the Test statement to work. For example, Test Black=Asian=AmIndian=0/Mult where White was the reference group. I tried the classvar=Full and was able to confirm my results using dummy variables, but then the Test statement wouldn't work for me with that approach.
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