PROC REG only does multiple linear regression with continuous effects. If you have classification effects, effects that you need to create dummy columns for in your design matrix, then you need to use a procedure that has a CLASS statement. If your model only involves fixed effects, then GLM's CLASS statement will handle those for you. Your fixed effect variable names and your continuous variables both go on the MODEL statement. So if A is a fixed classification effect and X1, X2 are continuous effects you would have
proc glm data=yourdata;
class A;
model y=A X1 X2;
run;
There is no collinearity check in GLM. You can still run your PROC REG model with just the continuous effects to check for collinearity in them. Check out the GLM documentation for information on the syntax for that procedure. The options available are different than those options that would be appropriate for a model that only has continuous effects (PROC REG)
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