Nonnormal Error Estimation

/*--------------------------------------------------------------

                    SAS Sample Library

        Name: entex01.sas
 Description: Example program from SAS/ETS User's Guide,
              The ENTROPY Procedure
       Title: Nonnormal Error Estimation
     Product: SAS/ETS Software
        Keys: Generalized Maximum Entropy
        PROC: ENTROPY
       Notes:

--------------------------------------------------------------*/

data one;
   call streaminit(156789);
   do by = 1 to 100;
      do x2 = 1 to 10;
         x1 = 10 * ranuni( 512);
         y = x1 + 2*x2 + rand('cauchy');
         output;
      end;
   end;
run;

title "Nonnormal Error Estimation";
proc entropy data=one gme outest=parm1;
   model y = x1 x2;
   by by;
run;

proc reg data=one outest=parm3;
   model y = x1 x2;
   by by;
run;

proc univariate data=parm1;
   var x1;
run;