I am estimating a multinomial logit model on a very large dataset (>100Gb) which requires the use of proc hplogistic as proc logistic takes way too long to complete.  We want to test for the independence of irrelevant alternatives which requires the covariance matrix as an output.   Proc Logistic has the capability of outputting the covariance matrix; however estimating the model with proc logistic takes way too long to estimate.   I see from Proc HPLogistic's documentation that option 'nostderr' suppresses the computation of the covariance matrix and standard errors, so I believe the values are being calculated, however I cannot find any information on how to get them.  What works on a very small dataset is: proc logistic data=dat outset=betas_cov covout; model choice = a b c d/link=glogit; run;   But, what I need to do is the same thing but with the HPLogistic proc.  Any suggestions? Or, another alternative for getting at the Hausman McFadden test?   Thank you! ... View more