Date:         Mon, 23 Sep 2002 14:09:55 -0700
Reply-To:     Dale McLerran <stringplayer_2@YAHOO.COM>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         Dale McLerran <stringplayer_2@YAHOO.COM>
Subject:      Re: heteroscedasticity robust t test
Comments: To: Xuesong Hu <xhu@USC.EDU>
In-Reply-To:  <amgn40$orq$1@usc.edu>
Content-Type: text/plain; charset=us-ascii

Here is what the PROC REG documentation has to say:

When you specify the SPEC option, tests listed in the TEST statement
are performed with both the usual covariance matrix and the
heteroscedasticity consistent covariance matrix. Tests performed with
the consistent covariance matrix are asymptotic. For more information,
refer to White (1980).


It would appear to me that what is reported from the fit of the
MODEL statement would not be heteroscedasticity consistent, but
functions of the parameters coded in a TEST statement would be
heteroscedasticity consistent.  Still, I would prefer the direct
approach of modeling the variance structure employing the MIXED
procedure rather than employing the sandwich estimator.  With the
MIXED procedure there are all manner of modeling the variance
including 1) specifying that the variance is a power-of-the-mean,
and 2) that the variance differs according to some group variable.
I believe that you would know more about your data, and the tests
obtained when the variance structure is modeled would not rely on
asymptotics to the same degree as tests obtained from PROC REG
employing the SPEC option.

Dale


--- Xuesong Hu <xhu@USC.EDU> wrote:
> Can SAS conduct heteroscedasticity robust t test? I check the manual
> for REG
> proc, it has a SPEC option to test the heteroscedasticity, however,
> it does
> not mention whether it can produce heteroscedasticity consistent t
> statistics.
>
> Anybody know how to produce a heteroscedasticity robust t statistics?
> thanks
> a lot!


=====
---------------------------------------
Dale McLerran
Fred Hutchinson Cancer Research Center
mailto: dmclerra@fhcrc.org
Ph:  (206) 667-2926
Fax: (206) 667-5977
---------------------------------------

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