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Date:         Thu, 5 Jun 2003 10:15:16 +0200
Reply-To:     "Dr. Olaf Kruse" <olaf.kruse@VST-GMBH.DE>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         "Dr. Olaf Kruse" <olaf.kruse@VST-GMBH.DE>
Subject:      MLE in SAS -- Please help!
Content-Type: text/plain; charset="iso-8859-1"

>Guys, > >I am trying to do a MLE analysis in SAS. Assume I have 2000 >observations, each containing a response Y and a X vector. Assume >Y(i) follows Normal distribution with mean 0 and standard deviation >X'Beta. Is there any SAS procedure that can fit the Beta vector? > >Thanks, >FG

Below you'll find a sniplet from the SAS-sample-library. It's also part of the SAS-documentaion for PROC GENMOD. Maybe you can modify it for your purpouses. I would also recommend to take look into the literature (as a starter: M. Aitkin: Modelling Variance-Heterogeneity in Normal Regression using GLIM, Jou.Roy.Stat.Soc. C 36, 1987, p. 332-229).

HTH Olaf

/* Example 7 */ *---------------Modeling Variance Heterogeneity-----* *---------------------------------------------------*;

data semi; drop j; do p = 'a','b'; do x = 10 to 15; if p = 'a' then do; do j = 1 to 2; y = x + 2*rannor(1302); output; end; end; else if p = 'b' then do; do j = 1 to 2; y = 3*x + 5*rannor(4567); output; end; end; end; end; run;

%macro semimod;

ods listing close; ods output;

data work; * input data set; set semi; wgt = 1; sum = 0; run;

data tmp; sum = 0; run;

%let conv = 0; %let iter = 0; * iterate until convergence; %do %while( &conv = 0 );

data _old; set tmp; devold = sum; keep devold; run;

* mean model; * set NOSCALE so that scale is not estimated; * select OBSTATS to get residuals; * SCWGT selects dispersion parameter weights; proc genmod data=work; class p; scwgt wgt; make 'obstats' out=A; make 'parameterestimates' out=meanests; model y = p x p*x / noscale obstats ; run;

* this data set contains squared residuals; data work; drop sum pred xbeta std hesswgt upper lower resraw reschi resdev; set A ; set work; rsquare = resraw*resraw; run;

* variance model; * set scoring=100 to get Fisher scores; * set scale = .5 for 1 dof in gamma distribution; proc genmod data=work; class p; make 'obstats' out=C; make 'parameterestimates' out=varests; model rsquare = p x p*x / dist=gamma link=log obstats scoring=100 noscale scale=.5; run;

* get weights for 1st model; * compute sum = overall deviance; data work; drop xbeta std hesswgt upper lower resraw reschi resdev; set work ; set C; wgt = 1./pred; sum + (rsquare/pred + log(pred) + log(6.283185)); run;

data tmp; set work nobs = last; keep sum; if( _n_ = last ); run;

%let iter=%eval( &iter+1 ); %put &iter;

* check convergence; data _NULL_; set tmp; set _old; put sum devold; if( abs(sum - devold) <= 1.e-3 ) then conv = 1; else conv = 0; call symput( 'dev', left(put(sum,12.4)) ); call symput( 'conv', left(put(conv,3.)) ); run;


title 'Mean Model'; ods listing; proc print data=meanests; run; title 'Variance Model'; proc print data=varests; run; title; %put Number of Iterations: &iter; %put Overall Deviance: &dev; %mend semimod;


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