I want to do Multivariate Multiple Regression test that simultaneously tests all regression parameters to be zero. I can do this in PROC REG, but I can't figure out if it is possible to do perform the calculation using PROC GLM. Below is a minimial working example. I want an invocation of GLM which gives me Wilks test: Statistic Value F Value Num DF Den DF Pr > F Wilks' Lambda 0.86889685 3.49 4 192 0.0088 The actual value will depend on the simulation.L Can this be done? data thedata(keep=x1 x2 x3 x4);   retain seed 0;   do i=1 to 100;   x1 = rannor(seed);   x2 = rannor(seed);   x3 = rannor(seed);   x4 = rannor(seed);   output; end; run; PROC REG DATA=thedata; MODEL x1 x2 = x3 x4; MTEST x3,x4; RUN; ... View more