Hi all, I am re-posting this question to a the SAS Forecasting and Econometrics board as suggested by another user. I was trying to do a feasible generalized least square (FGLS) in SAS 9.2 to adjust for heteroscedasticity. The form of the variance is unknown. I am just trying to use the residuals to estimate the variance and then do an iterative reweighting (I think this is what FGLS is). I googled it and found the SAS documentation here. But the documentation didn't explain very clearly how to implement FGLS in proc model. It only says using H.var. I tried the following code, proc model data=temp ;
y=b0+b1*x1+b2*x2;
h.y=resid.y**2;
fit y /itprint ;
run; but SAS says: WARNING: Can only do FIML or GMM estimation when parameters are shared by the mean model and the variance model. The estimation requested will ignore the variance model. So I believe the code is not doing FGLS. My question is: Can anyone provide an example code that will do a FGLS? I am OK with either proc model or any other procedures that will do the job. Thank you all so much.

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