Hi All, Are there any least-squares regression procedures that can correct for heteroskedasticity and produce output that can be used with the PLM procedure to create prediction intervals? My data is a long panel, but since it appears that output from the PANEL procedure is incompatible with PLM, I created dummy variables for cross-sections & time in order to force the data into a model like GLM or REG.  Unfortunately, the data exhibits heteroskedasticity.  I have found various corrections for this with the REG procedure (ACOV, HCC, SPEC, WHITE), but haven't found any that are avaialble for GLM, ORTHOREG, MIXED, etc. Thank you in advance for any suggestions. ... View more