The ROBUSTREG Procedure

When you use M or MM estimation, you can use the INEST= data set to specify initial estimates for all the parameters in the model. The INEST= option is ignored if you specify LTS or S estimation by using the METHOD=LTS or METHOD=S option or if you specify the INITEST= option after the METHOD=MM option in the PROC ROBUSTREG statement. The INEST= data set must contain the intercept variable (named Intercept) and all independent variables in the MODEL statement.

If BY processing is used, the INEST= data set should also include the BY variables, and there must be at least one observation in each BY group. If there is more than one observation in a BY group, the first one that is read is used for that BY group.

If the INEST= data set also contains the _TYPE_ variable, only observations that have the _TYPE_ value “PARMS” are used as starting values.

You can specify starting values for the iteratively reweighted least squares algorithm in the INEST= data set. The INEST= data set has the same structure as the OUTEST= data set but is not required to contain all the variables or observations that appear in the OUTEST= data set. One simple use of the INEST= option is to pass the previous OUTEST= data set directly to the next model as an INEST= data set, assuming that the two models have the same parameterization.