The OUTEST= data set contains parameter estimates for the model. You can specify a label in the MODEL statement to distinguish between the estimates for different models that the ROBUSTREG procedure uses. If the COVOUT option is specified, the OUTEST= data set also contains the estimated covariance matrix of the parameter estimates. If the ROBUSTREG procedure does not converge, the parameter estimates are set to missing in the OUTEST data set.
The OUTEST= data set contains all variables that are specified in the MODEL statement and the BY statement. For each BY group, the OUTEST= data set has the following:
one observation that consists of the model’s parameter estimates, where the value of the dependent variable is set to –1
if the COVOUT option is specified, p observations that contain the rows of the estimated covariance matrix. For these observations, the dependent variable contains the parameter estimates for the corresponding row variables.
The following variables are also added to the data set in their display order:
_MODEL_
is a character variable that contains the label of the MODEL statement, if present. Otherwise, the variable’s value is blank.
_NAME_
is a character variable that contains the name of the dependent variable for the parameter estimates or the name of the row for the covariance matrix estimates.
_TYPE_
is a character variable that contains the type of the observation: either PARMS for parameter estimates or COV for covariance estimates.
_METHOD_
is a character variable that contains the type of estimation method: either M estimation, LTS estimation, S estimation, or MM estimation.
_STATUS_
is a character variable that contains the status of model fitting: either Converged, Warning, or Failed.
INTERCEPT
is a numeric variable that contains the intercept parameter estimates and covariances.
_SCALE_
is a numeric variable that contains the scale parameter estimates.
Any BY variables that are specified are also added to the OUTEST= data set.