The HETERO statement specifies variables that are related to the heteroscedasticity of the residuals and the way these variables are used to model the error variance. The heteroscedastic regression model supported by PROC QLIM is
See the section Heteroscedasticity for more details on the specification of functional forms.
The functional form can be specified using the LINK= option. The following option values are allowed:
specifies the exponential link function
specifies the linear link function
When the LINK= option is not specified, the exponential link function is specified by default.
specifies that there be no constant in the linear or exponential heteroscedasticity model.
estimates the model by using the square of linear heteroscedasticity function. For example, you can specify the following heteroscedasticity function:
model y = x1 x2 / discrete; hetero y ~ z1 / link=linear square;
The option SQUARE does not apply to exponential heteroscedasticity function because the square of an exponential function of is the same as the exponential of . Hence the only difference is that all estimates are divided by two.