Date:         Sun, 27 Jun 2004 14:38:49 -0700
Reply-To:     cassell.david@EPAMAIL.EPA.GOV
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         "David L. Cassell" <cassell.david@EPAMAIL.EPA.GOV>
Subject:      Re: White Heteroskedasticity - ACOV
Content-type: text/plain; charset=US-ASCII

Thomas <tythong@YAHOO.COM> wrote:
> Under the "PROC REG" statement (model options), we could specify the
ACOV
> to get the asymptotic covariance matrix of estimates assuming
> heteroscedasticity. However, the standard errors on the main printout
of
> parameters are not adjusted. So, may I know is there any efficient way
(or
> how to) to get the corrected standard errors/t-values printout using
SAS
> steps to extract the diagonal elements of the covariance matrix for
these?

If you are after the entire matrix, you might try using ODS to output
the results to a SAS dataset for you.  I think that (with the ACOV
option
in place), you should try to save the ACovEst output to a data set of
your choosing.

ods output ACovEst=YourDataSetNameHere;

proc reg yadda yadda yadda;
  .
  .
  .
  run;



I haven't verified that this is the right data set, so _caveat_lector_
(let the reader beware)!

HTH,
David
--
David Cassell, CSC
Cassell.David@epa.gov
Senior computing specialist
mathematical statistician