For GLM: To test for homogeneity of variance across CLASS levels in a one-way ANOVA setting, use the MEANS statement with the HOVTEST option. There are a variety of tests available. I prefer the Brown-Forsythe method.
For mixed models (GLIMMIX being preferred); Include a RANDOM statement with the following syntax:
RANDOM _residual_/group = <class variable>;
And add the following COVTEST statement:
COVTEST 'common variance' homogeneity
This conducts a likelihood ratio test. One nice thing about this approach is that even for moderate sized datasets, you can ignore the testing part, and rely on convergence in distribution of the variance components if, in fact, there is no heteroscedasticity. You do this at the cost of degrees of freedom, so if you are in a situation where power of the test is at a premium, you can remove the statements if the test is non-significant.
For a situation where you have a main linear regression and you are looking for the influence of fixed categorical covariates, the GLIMMIX approach is quite handy.
SteveDenham
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