®

SAS/STAT 15.3
User’s Guide
The GLM Procedure

®
SAS Documentation
January 31, 2023
This document is an individual chapter from SAS/STAT® 15.3 User’s Guide.
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Chapter 53
The GLM Procedure

Contents
Overview: GLM Procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4033
PROC GLM Features . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4033
PROC GLM Contrasted with Other SAS Procedures . . . . . . . . . . . . . . . . . . 4034
Getting Started: GLM Procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4035
PROC GLM for Unbalanced ANOVA . . . . . . . . . . . . . . . . . . . . . . . . . . 4035
PROC GLM for Quadratic Least Squares Regression . . . . . . . . . . . . . . . . . . 4038
Syntax: GLM Procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4043
PROC GLM Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4046
ABSORB Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4053
BY Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4053
CLASS Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4054
CODE Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4055
CONTRAST Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4056
ESTIMATE Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4058
FREQ Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4059
ID Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4060
LSMEANS Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4060
MANOVA Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4069
MEANS Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4074
MODEL Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4080
OUTPUT Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4084
RANDOM Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4087
REPEATED Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4088
STORE Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4092
TEST Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4093
WEIGHT Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4094
Details: GLM Procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4094
Statistical Assumptions for Using PROC GLM . . . . . . . . . . . . . . . . . . . . . 4094
Specification of Effects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4095
Using PROC GLM Interactively . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4098
Parameterization of PROC GLM Models . . . . . . . . . . . . . . . . . . . . . . . . 4098
Hypothesis Testing in PROC GLM . . . . . . . . . . . . . . . . . . . . . . . . . . . 4103
Effect Size Measures for F Tests in GLM . . . . . . . . . . . . . . . . . . . . . . . . 4108
Absorption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4112
Specification of ESTIMATE Expressions . . . . . . . . . . . . . . . . . . . . . . . . 4115
Comparing Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4116
4032 F Chapter 53: The GLM Procedure

Means versus LS-Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4117

Multiple Comparisons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4119
Simple Effects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4129
Homogeneity of Variance in One-Way Models . . . . . . . . . . . . . . . . 4131
Weighted Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4132
Construction of Least Squares Means . . . . . . . . . . . . . . . . . . . . . 4132
Multivariate Analysis of Variance . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4135
Repeated Measures Analysis of Variance . . . . . . . . . . . . . . . . . . . . . . . . 4137
Random-Effects Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4145
Missing Values . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4148
Computational Resources . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4149
Computational Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4151
Output Data Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4152
Displayed Output . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4154
ODS Table Names . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4155
ODS Graphics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4158
Examples: GLM Procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4160
Example 53.1: Randomized Complete Blocks with Means Comparisons and Contrasts 4160
Example 53.2: Regression with Mileage Data . . . . . . . . . . . . . . . . . . . . . . 4166
Example 53.3: Unbalanced ANOVA for Two-Way Design with Interaction . . . . . . 4169
Example 53.4: Analysis of Covariance . . . . . . . . . . . . . . . . . . . . . . . . . 4174
Example 53.5: Three-Way Analysis of Variance with Contrasts . . . . . . . . . . . . 4180
Example 53.6: Multivariate Analysis of Variance . . . . . . . . . . . . . . . . . . . . 4184
Example 53.7: Repeated Measures Analysis of Variance . . . . . . . . . . . . . . . . 4191
Example 53.8: Mixed Model Analysis of Variance with the RANDOM Statement . . . 4195
Example 53.9: Analyzing a Doubly Multivariate Repeated Measures Design . . . . . 4198
Example 53.10: Testing for Equal Group Variances . . . . . . . . . . . . . . . . . . . 4203
Example 53.11: Analysis of a Screening Design . . . . . . . . . . . . . . . . . . . . 4208
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4212
 Overview: GLM Procedure F 4033

Overview: GLM Procedure

The GLM procedure uses the method of least squares to fit general linear models. Among the statistical
methods available in PROC GLM are regression, analysis of variance, analysis of covariance, multivariate
analysis of variance, and partial correlation.
PROC GLM analyzes data within the framework of general linear models. PROC GLM handles models
relating one or several continuous dependent variables to one or several independent variables. The inde-
pendent variables can be either classification variables, which divide the observations into discrete groups,
or continuous variables. Thus, the GLM procedure can be used for many different analyses, including the
following:

 simple regression

 multiple regression

 analysis of variance (ANOVA), especially for unbalanced data

 analysis of covariance

 response surface models

 weighted regression

 polynomial regression

 partial correlation

 multivariate analysis of variance (MANOVA)

 repeated measures analysis of variance

PROC GLM Features

The following list summarizes the features in PROC GLM:

 PROC GLM enables you to specify any degree of interaction (crossed effects) and nested effects. It
also provides for polynomial, continuous-by-class, and continuous-nesting-class effects.

 Through the concept of estimability, the GLM procedure can provide tests of hypotheses for the effects
of a linear model regardless of the number of missing cells or the extent of confounding. PROC GLM
displays the sum of squares (SS) associated with each hypothesis tested and, upon request, the form
of the estimable functions employed in the test. PROC GLM can produce the general form of all
estimable functions.

 The REPEATED statement enables you to specify effects in the model that represent repeated measure-
ments on the same experimental unit for the same response, providing both univariate and multivariate
tests of hypotheses.
4034 F Chapter 53: The GLM Procedure

 The RANDOM statement enables you to specify random effects in the model; expected mean squares
are produced for each Type I, Type II, Type III, Type IV, and contrast mean square used in the analysis.
Upon request, F tests that use appropriate mean squares or linear combinations of mean squares as
error terms are performed.

 The ESTIMATE statement enables you to specify an L vector for estimating a linear function of the
parameters Lˇ.

 The CONTRAST statement enables you to specify a contrast vector or matrix for testing the hypothesis
that Lˇ D 0. When specified, the contrasts are also incorporated into analyses that use the MANOVA
and REPEATED statements.

 The MANOVA statement enables you to specify both the hypothesis effects and the error effect to use
for a multivariate analysis of variance.

 PROC GLM can create an output data set containing the input data set in addition to predicted values,
residuals, and other diagnostic measures.

 PROC GLM can be used interactively. After you specify and fit a model, you can execute a variety of
statements without recomputing the model parameters or sums of squares.

 For analysis involving multiple dependent variables but not the MANOVA or REPEATED statements,
a missing value in one dependent variable does not eliminate the observation from the analysis for
other dependent variables. PROC GLM automatically groups together those variables that have the
same pattern of missing values within the data set or within a BY group. This ensures that the analysis
for each dependent variable brings into use all possible observations.

 The GLM procedure automatically produces graphs as part of its ODS output. For general information
about ODS Graphics, see the section “ODS Graphics” on page 4158 and Chapter 24, “Statistical
Graphics Using ODS.”

PROC GLM Contrasted with Other SAS Procedures

As described previously, PROC GLM can be used for many different analyses and has many special features
not available in other SAS procedures. However, for some types of analyses, other procedures are available.
As discussed in the sections “PROC GLM for Unbalanced ANOVA” on page 4035 and “PROC GLM for
Quadratic Least Squares Regression” on page 4038, sometimes these other procedures are more efficient
than PROC GLM. The following procedures perform some of the same analyses as PROC GLM:

ANOVA performs analysis of variance for balanced designs. The ANOVA procedure is generally
more efficient than PROC GLM for these designs.
MIXED fits mixed linear models by incorporating covariance structures in the model fitting process.
Its RANDOM and REPEATED statements are similar to those in PROC GLM but offer
different functionalities.
NESTED performs analysis of variance and estimates variance components for nested random
models. The NESTED procedure is generally more efficient than PROC GLM for these
models.
 Getting Started: GLM Procedure F 4035

NPAR1WAY performs nonparametric one-way analysis of rank scores. This can also be done using the
RANK procedure and PROC GLM.
REG performs simple linear regression. The REG procedure allows several MODEL statements
and gives additional regression diagnostics, especially for detection of collinearity.
RSREG performs quadratic response surface regression, and canonical and ridge analysis. The
RSREG procedure is generally recommended for data from a response surface experiment.
TTEST compares the means of two groups of observations. Also, tests for equality of variances
for the two groups are available. The TTEST procedure is usually more efficient than
PROC GLM for this type of data.
VARCOMP estimates variance components for a general linear model.

Getting Started: GLM Procedure

PROC GLM for Unbalanced ANOVA

Analysis of variance, or ANOVA, typically refers to partitioning the variation in a variable’s values into
variation between and within several groups or classes of observations. The GLM procedure can perform
simple or complicated ANOVA for balanced or unbalanced data.
This example discusses the analysis of variance for the unbalanced 2  2 data shown in Table 53.1. The
experimental design is a full factorial, in which each level of one treatment factor occurs at each level of the
other treatment factor. Note that there is only one value for the cell with A=‘A2’ and B=‘B2’. Since one cell
contains a different number of values from the other cells in the table, this is an unbalanced design.

Table 53.1 Unbalanced Two-Way Data

A1 A2
B1 12, 14 20, 18
B2 11, 9 17

The following statements read the data into a SAS data set and then invoke PROC GLM to produce the
analysis.

title 'Analysis of Unbalanced 2-by-2 Factorial';

data exp;
input A $ B $ Y @@;
datalines;
A1 B1 12 A1 B1 14 A1 B2 11 A1 B2 9
A2 B1 20 A2 B1 18 A2 B2 17
;
4036 F Chapter 53: The GLM Procedure

proc glm data=exp;

class A B;
model Y=A B A*B;
run;
Both treatments are listed in the CLASS statement because they are classification variables. A*B denotes the
interaction of the A effect and the B effect. The results are shown in Figure 53.1 and Figure 53.2.

Figure 53.1 Class Level Information

Analysis of Unbalanced 2-by-2 Factorial

The GLM Procedure

Class Level
Information
Class Levels Values
A 2 A1 A2
B 2 B1 B2

Number of Observations Read 7

Number of Observations Used 7

Figure 53.1 displays information about the classes as well as the number of observations in the data set.
Figure 53.2 shows the ANOVA table, simple statistics, and tests of effects.

Figure 53.2 ANOVA Table and Tests of Effects

Analysis of Unbalanced 2-by-2 Factorial

The GLM Procedure

Dependent Variable: Y

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 3 91.71428571 30.57142857 15.29 0.0253
Error 3 6.00000000 2.00000000
Corrected Total 6 97.71428571

R-Square Coeff Var Root MSE Y Mean

0.938596 9.801480 1.414214 14.42857

Source DF Type I SS Mean Square F Value Pr > F

A 1 80.04761905 80.04761905 40.02 0.0080
B 1 11.26666667 11.26666667 5.63 0.0982
A*B 1 0.40000000 0.40000000 0.20 0.6850

Source DF Type III SS Mean Square F Value Pr > F

A 1 67.60000000 67.60000000 33.80 0.0101
B 1 10.00000000 10.00000000 5.00 0.1114
A*B 1 0.40000000 0.40000000 0.20 0.6850
 PROC GLM for Unbalanced ANOVA F 4037

The degrees of freedom can be used to check your data. The Model degrees of freedom for a 2  2 factorial
design with interaction are .ab 1/, where a is the number of levels of A and b is the number of levels of B;
in this case, .2  2 1/ D 3. The Corrected Total degrees of freedom are always one less than the number of
observations used in the analysis; in this case, 7 – 1 = 6.
The overall F test is significant .F D 15:29; p D 0:0253/, indicating strong evidence that the means for the
four different AB cells are different. You can further analyze this difference by examining the individual
tests for each effect.
Four types of estimable functions of parameters are available for testing hypotheses in PROC GLM. For data
with no missing cells, the Type III and Type IV estimable functions are the same and test the same hypotheses
that would be tested if the data were balanced. Type I and Type III sums of squares are typically not equal
when the data are unbalanced; Type III sums of squares are preferred in testing effects in unbalanced cases
because they test a function of the underlying parameters that is independent of the number of observations
per treatment combination.
According to a significance level of 5% .˛ D 0:05/, the A*B interaction is not significant .F D 0:20; p D
0:6850/. This indicates that the effect of A does not depend on the level of B and vice versa. Therefore, the
tests for the individual effects are valid, showing a significant A effect .F D 33:80; p D 0:0101/ but no
significant B effect .F D 5:00; p D 0:1114/.
If ODS Graphics is enabled, GLM also displays by default an interaction plot for this analysis. The following
statements, which are the same as in the previous analysis but with ODS Graphics enabled, additionally
produce Figure 53.3.

ods graphics on;

proc glm data=exp;
class A B;
model Y=A B A*B;
run;
ods graphics off;
4038 F Chapter 53: The GLM Procedure

Figure 53.3 Plot of Y by A and B

The insignificance of the A*B interaction is reflected in the fact that two lines in Figure 53.3 are nearly
parallel. For more information about the graphics that GLM can produce, see the section “ODS Graphics” on
page 4158.

PROC GLM for Quadratic Least Squares Regression

In polynomial regression, the values of a dependent variable (also called a response variable) are described
or predicted in terms of polynomial terms involving one or more independent or explanatory variables. An
example of quadratic regression in PROC GLM follows. These data are taken from Draper and Smith (1966,
p. 57). Thirteen specimens of 90/10 Cu-Ni alloys are tested in a corrosion-wheel setup in order to examine
corrosion. Each specimen has a certain iron content. The wheel is rotated in salt seawater at 30 ft/sec for 60
days. Weight loss is used to quantify the corrosion. The fe variable represents the iron content, and the loss
variable denotes the weight loss in milligrams/square decimeter/day in the following DATA step.

title 'Regression in PROC GLM';

data iron;
input fe loss @@;
 PROC GLM for Quadratic Least Squares Regression F 4039

datalines;
0.01 127.6 0.48 124.0 0.71 110.8 0.95 103.9
1.19 101.5 0.01 130.1 0.48 122.0 1.44 92.3
0.71 113.1 1.96 83.7 0.01 128.0 1.44 91.4
1.96 86.2
;
The SGSCATTER procedure is used in the following statements to request a scatter plot of the response
variable versus the independent variable.

proc sgscatter data=iron;

plot loss*fe;
run;
ods graphics off;
The plot in Figure 53.4 displays a strong negative relationship between iron content and corrosion resistance,
but it is not clear whether there is curvature in this relationship.

Figure 53.4 Plot of Observed Corrosion Resistance by Iron Content

The following statements fit a quadratic regression model to the data. This enables you to estimate the
linear relationship between iron content and corrosion resistance and to test for the presence of a quadratic
component. The intercept is automatically fit unless the NOINT option is specified.
4040 F Chapter 53: The GLM Procedure

proc glm data=iron;

model loss=fe fe*fe;
run;
The CLASS statement is omitted because a regression line is being fitted. Unlike PROC REG, PROC GLM
allows polynomial terms in the MODEL statement.
PROC GLM first displays preliminary information, shown in Figure 53.5, telling you that the GLM procedure
has been invoked and stating the number of observations in the data set. If the model involves classification
variables, they are also listed here, along with their levels.

Figure 53.5 Data Information

Regression in PROC GLM

The GLM Procedure

Number of Observations Read 13

Number of Observations Used 13

Figure 53.6 shows the overall ANOVA table and some simple statistics. The degrees of freedom can be
used to check that the model is correct and that the data have been read correctly. The Model degrees of
freedom for a regression is the number of parameters in the model minus 1. You are fitting a model with
three parameters in this case,

loss D ˇ0 C ˇ1  .fe/ C ˇ2  .fe/2 C error

so the degrees of freedom are 3 1 D 2. The Corrected Total degrees of freedom are always one less than
the number of observations used in the analysis.

Figure 53.6 ANOVA Table

Regression in PROC GLM

The GLM Procedure

Dependent Variable: loss

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 2 3296.530589 1648.265295 164.68 <.0001
Error 10 100.086334 10.008633
Corrected Total 12 3396.616923

R-Square Coeff Var Root MSE loss Mean

0.970534 2.907348 3.163642 108.8154

The R square indicates that the model accounts for 97% of the variation in LOSS. The coefficient of variation
(Coeff Var), Root MSE (Mean Square for Error), and mean of the dependent variable are also listed.
The overall F test is significant .F D 164:68; p < 0:0001/, indicating that the model as a whole accounts
 PROC GLM for Quadratic Least Squares Regression F 4041

for a significant amount of the variation in LOSS. Thus, it is appropriate to proceed to testing the effects.
Figure 53.7 contains tests of effects and parameter estimates. The latter are displayed by default when the
model contains only continuous variables.

Figure 53.7 Tests of Effects and Parameter Estimates

Source DF Type I SS Mean Square F Value Pr > F

fe 1 3293.766690 3293.766690 329.09 <.0001
fe*fe 1 2.763899 2.763899 0.28 0.6107

Source DF Type III SS Mean Square F Value Pr > F

fe 1 356.7572421 356.7572421 35.64 0.0001
fe*fe 1 2.7638994 2.7638994 0.28 0.6107

Standard
Parameter Estimate Error t Value Pr > |t|
Intercept 130.3199337 1.77096213 73.59 <.0001
fe -26.2203900 4.39177557 -5.97 0.0001
fe*fe 1.1552018 2.19828568 0.53 0.6107

The t tests provided are equivalent to the Type III F tests. The quadratic term is not significant (p = 0.6107)
and thus can be removed from the model; the linear term is significant .p < 0:0001/. This suggests that there
is indeed a straight-line relationship between loss and fe.
Finally, if ODS Graphics is enabled, PROC GLM also displays by default a scatter plot of the original data, as
in Figure 53.4, with the quadratic fit overlaid. The following statements, which are the same as the previous
analysis but with ODS Graphics enabled, additionally produce Figure 53.8.

ods graphics on;

proc glm data=iron;
model loss=fe fe*fe;
run;
ods graphics off;
4042 F Chapter 53: The GLM Procedure

Figure 53.8 Plot of Observed and Fit Corrosion Resistance by Iron Content, Quadratic Model

The insignificance of the quadratic term in the model is reflected in the fact that the fit is nearly linear.
Fitting the model without the quadratic term provides more accurate estimates for ˇ0 and ˇ1 . PROC GLM
allows only one MODEL statement per invocation of the procedure, so the PROC GLM statement must be
issued again. The following statements are used to fit the linear model.

proc glm data=iron;

model loss=fe;
run;
Figure 53.9 displays the output produced by these statements. The linear term is still significant .F D
352:27; p < 0:0001/. The estimated model is now

loss D 129:79 24:02  fe

 Syntax: GLM Procedure F 4043

Figure 53.9 Linear Model Output

Regression in PROC GLM

The GLM Procedure

Dependent Variable: loss

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 1 3293.766690 3293.766690 352.27 <.0001
Error 11 102.850233 9.350021
Corrected Total 12 3396.616923

R-Square Coeff Var Root MSE loss Mean

0.969720 2.810063 3.057780 108.8154

Source DF Type I SS Mean Square F Value Pr > F

fe 1 3293.766690 3293.766690 352.27 <.0001

Source DF Type III SS Mean Square F Value Pr > F

fe 1 3293.766690 3293.766690 352.27 <.0001

Standard
Parameter Estimate Error t Value Pr > |t|
Intercept 129.7865993 1.40273671 92.52 <.0001
fe -24.0198934 1.27976715 -18.77 <.0001

Syntax: GLM Procedure

The following statements are available in the GLM procedure:
4044 F Chapter 53: The GLM Procedure

PROC GLM < options > ;

CLASS variable < (REF= option) > . . . < variable < (REF= option) > > < / global-options > ;
MODEL dependent-variables = independent-effects < / options > ;
ABSORB variables ;
BY variables ;
CODE < options > ;
FREQ variable ;
ID variables ;
WEIGHT variable ;
CONTRAST ’label’ effect values < . . . effect values > < / options > ;
ESTIMATE ’label’ effect values < . . . effect values > < / options > ;
LSMEANS effects < / options > ;
MANOVA < test-options > < / detail-options > ;
MEANS effects < / options > ;
OUTPUT < OUT=SAS-data-set > keyword=names < . . . keyword=names > < / option > ;
RANDOM effects < / options > ;
REPEATED factor-specification < / options > ;
STORE < OUT= >item-store-name < / LABEL='label' > ;
TEST < H=effects > E=effect < / options > ;
Although there are numerous statements and options available in PROC GLM, many applications use only
a few of them. Often you can find the features you need by looking at an example or by quickly scanning
through this section.
To use PROC GLM, the PROC GLM and MODEL statements are required. You can specify only one
MODEL statement (in contrast to the REG procedure, for example, which allows several MODEL statements
in the same PROC REG run). If your model contains classification effects, the classification variables must
be listed in a CLASS statement, and the CLASS statement must appear before the MODEL statement. In
addition, if you use a CONTRAST statement in combination with a MANOVA, RANDOM, REPEATED, or
TEST statement, the CONTRAST statement must be entered first in order for the contrast to be included in
the MANOVA, RANDOM, REPEATED, or TEST analysis.
Table 53.2 summarizes the positional requirements for the statements in the GLM procedure.

Table 53.2 Positional Requirements for PROC GLM Statements

Statement Must Precede. . . Must Follow. . .

ABSORB First RUN statement
BY First RUN statement
CLASS MODEL statement
CONTRAST MANOVA, REPEATED, MODEL statement
or RANDOM statement
ESTIMATE MODEL statement
FREQ First RUN statement
ID First RUN statement
LSMEANS MODEL statement
 Syntax: GLM Procedure F 4045

Table 53.2 continued

Statement Must Precede. . . Must Follow. . .

MANOVA CONTRAST or
MODEL statement
MEANS MODEL statement
MODEL CONTRAST, ESTIMATE, CLASS statement
LSMEANS, or MEANS
statement
OUTPUT MODEL statement
RANDOM CONTRAST or
MODEL statement
REPEATED CONTRAST, MODEL,
or TEST statement
TEST MANOVA or MODEL statement
REPEATED statement
WEIGHT First RUN statement

Table 53.3 summarizes the function of each statement (other than the PROC statement) in the GLM procedure.

Table 53.3 Statements in the GLM Procedure

Statement Description
ABSORB Absorbs classification effects in a model
BY Specifies variables to define subgroups for the analysis
CLASS Declares classification variables
CODE Requests that the procedure write SAS DATA step code to a file or
catalog entry for computing predicted values according to the fitted
model
CONTRAST Constructs and tests linear functions of the parameters
ESTIMATE Estimates linear functions of the parameters
FREQ Specifies a frequency variable
ID Identifies observations on output
LSMEANS Computes least squares (marginal) means
MANOVA Performs a multivariate analysis of variance
MEANS Computes and optionally compares arithmetic means
MODEL Defines the model to be fit
OUTPUT Requests an output data set containing diagnostics for each
observation
RANDOM Declares certain effects to be random and computes expected mean
squares
REPEATED Performs multivariate and univariate repeated measures analysis of
variance
STORE Requests that the procedure save the context and results of the
statistical analysis into an item store
4046 F Chapter 53: The GLM Procedure

Table 53.3 continued

Statement Description
TEST Constructs tests that use the sums of squares for effects and the
error term you specify
WEIGHT Specifies a variable for weighting observations

The rest of this section provides detailed syntax information for each of these statements, beginning with the
PROC GLM statement. The remaining statements are covered in alphabetical order.
The STORE and CODE statements are also used by many other procedures. A summary description of
functionality and syntax for these statements is also shown after the PROC GLM statement in alphabetical
order, but you can find full documentation about them in the section “STORE Statement” on page 531 in
Chapter 20, “Shared Concepts and Topics.”

PROC GLM Statement

PROC GLM < options > ;

The PROC GLM statement invokes the GLM procedure. Table 53.4 summarizes the options available in the
PROC GLM statement.

Table 53.4 PROC GLM Statement Options

Option Description
ALPHA= Specifies the level of significance for confidence intervals
DATA= Names the SAS data set used by the GLM procedure
MANOVA Requests the multivariate mode of eliminating observations with missing
values
MULTIPASS Requests that the input data set be reread when necessary, instead of using a
utility file
NAMELEN= Specifies the length of effect names
NOPRINT Suppresses the normal display of results
ORDER= Specifies the order in which to sort classification variables
OUTSTAT= Names an output data set for information and statistics on each model effect
PLOTS Controls the plots produced through ODS Graphics

You can specify the following options in the PROC GLM statement.

ALPHA=p
specifies the level of significance p for 100.1 p/% confidence intervals. The value must be between 0
and 1; the default value of p = 0.05 results in 95% intervals. This value is used as the default confidence
level for limits computed by the following options.
 PROC GLM Statement F 4047

Statement Options
LSMEANS CL
MEANS CLM CLDIFF
MODEL CLI CLM CLPARM
OUTPUT UCL= LCL= UCLM= LCLM=

You can override the default in each of these cases by specifying the ALPHA= option for each statement
individually.

DATA=SAS-data-set
names the SAS data set used by the GLM procedure. By default, PROC GLM uses the most recently
created SAS data set.

MANOVA
requests the multivariate mode of eliminating observations with missing values. If any of the dependent
variables have missing values, the procedure eliminates that observation from the analysis. The
MANOVA option is useful if you use PROC GLM in interactive mode and plan to perform a multivariate
analysis.

MULTIPASS
requests that PROC GLM reread the input data set when necessary, instead of writing the necessary
values of dependent variables to a utility file. This option decreases disk space usage at the expense
of increased execution times, and is useful only in rare situations where disk space is at an absolute
premium.

NAMELEN=n
specifies the length of effect names in tables and output data sets to be n characters long, where n is a
value between 20 and 200 characters. The default length is 20 characters.

NOPRINT
suppresses the normal display of results. The NOPRINT option is useful when you want only to create
one or more output data sets with the procedure. Note that this option temporarily disables the Output
Delivery System (ODS); see Chapter 23, “Using the Output Delivery System,” for more information.

ORDER=DATA | FORMATTED | FREQ | INTERNAL

specifies the sort order for the levels of the classification variables (which are specified in the CLASS
statement).
This ordering determines which parameters in the model correspond to each level in the data, so the
ORDER= option can be useful when you specify the CONTRAST or ESTIMATE statement.
This option applies to the levels for all classification variables, except when you use the (default)
ORDER=FORMATTED option with numeric classification variables that have no explicit format. In
that case, the levels of such variables are ordered by their internal value.
The ORDER= option can take the following values:
4048 F Chapter 53: The GLM Procedure

Value of ORDER= Levels Sorted By

DATA Order of appearance in the input data set
FORMATTED External formatted value, except for numeric variables
with no explicit format, which are sorted by their
unformatted (internal) value
FREQ Descending frequency count; levels with the most
observations come first in the order
INTERNAL Unformatted value

By default, ORDER=FORMATTED. For ORDER=FORMATTED and ORDER=INTERNAL, the sort

order is machine-dependent.
For more information about sort order, see the chapter on the SORT procedure in the Base SAS
Procedures Guide and the discussion of BY-group processing in SAS Language Reference: Concepts.

OUTSTAT=SAS-data-set
names an output data set that contains sums of squares, degrees of freedom, F statistics, and probability
levels for each effect in the model, as well as for each CONTRAST that uses the overall residual or error
mean square (MSE) as the denominator in constructing the F statistic. If you use the CANONICAL
option in the MANOVA statement and do not use an M= specification in the MANOVA statement, the
data set also contains results of the canonical analysis.
See the section “Output Data Sets” on page 4152 for more information.

PLOTS < (global-plot-options) > < =plot-request < (options) > >
PLOTS < (global-plot-options) > < =(plot-request < (options) > < . . . plot-request < (options) > >) >
controls the plots produced through ODS Graphics. When you specify only one plot-request , you can
omit the parentheses from around the plot-request . For example:

PLOTS=NONE
PLOTS=(DIAGNOSTICS RESIDUALS)
PLOTS(UNPACK)=RESIDUALS
PLOT=MEANPLOT(CLBAND)

ODS Graphics must be enabled before plots can be requested. For example:

ods graphics on;

proc glm data=iron;
model loss=fe fe*fe;
run;
ods graphics off;

For more information about enabling and disabling ODS Graphics, see the section “Enabling and
Disabling ODS Graphics” on page 663 in Chapter 24, “Statistical Graphics Using ODS.”
If ODS Graphics is enabled but you do not specify the PLOTS= option, then PROC GLM produces a
default set of plots, which might be different for different models, as discussed in the following.
 PROC GLM Statement F 4049

 If you specify a one-way analysis of variance model that has just one CLASS variable, the GLM
procedure produces a grouped box plot of the response values versus the CLASS levels. For
an example of the box plot, see the section “One-Way Layout with Means Comparisons” on
page 1095 in Chapter 29, “The ANOVA Procedure.”
 If you specify a two-way analysis of variance model that has just two CLASS variables, the
GLM procedure produces an interaction plot of the response values, where horizontal position
represents one CLASS variable and marker style represents the other, and where predicted
response values connected by lines represent the two-way analysis. For an example of the
interaction plot, see the section “PROC GLM for Unbalanced ANOVA” on page 4035.
 If you specify a model that has two CLASS variables, and one variable is nested within the other,
then the GLM procedure produces a nested box plot of the response values, where horizontal
position represents one CLASS variable nested within the other CLASS variable.
 If you specify a model that has a single continuous predictor, the GLM procedure produces a
fit plot of the response values versus the covariate values, where a curve represents the fitted
relationship and a band represents the confidence limits for individual mean values. For an
example of the fit plot, see the section “PROC GLM for Quadratic Least Squares Regression” on
page 4038.
 If you specify a model that has two continuous predictors and no CLASS variables, the GLM
procedure produces a contour fit plot, overlaying a scatter plot of the data and a contour plot of
the predicted surface.
 If you specify an analysis of covariance model that has one or two CLASS variables and one
continuous variable, the GLM procedure produces an analysis of covariance plot of the response
values versus the covariate values, where lines represent the fitted relationship within each
classification level. For an example of the analysis of covariance plot, see Example 53.4.
 If you specify an LSMEANS statement with the PDIFF option, the GLM procedure produces a
plot appropriate for the type of LS-means comparison. For PDIFF=ALL (which is the default
if you specify only PDIFF), the procedure produces a diffogram, which displays all pairwise
LS-means differences and their significance. The display is also known as a “mean-mean
scatter plot” (Hsu 1996). For PDIFF=CONTROL, the procedure produces a display of each
noncontrol LS-mean compared to the control LS-mean, with two-sided confidence intervals
for the comparison. For PDIFF=CONTROLL and PDIFF=CONTROLU a similar display is
produced, but with one-sided confidence intervals. Finally, for the PDIFF=ANOM option, the
procedure produces an analysis-of-means plot, which compares each LS-mean to the average
LS-mean.
 If you specify a MEANS statement, the GLM procedure produces a grouped box plot of the
response values versus the effect for which means are being calculated.

The global-plot-options include the following:

MAXPOINTS=NONE | number
suppresses plots that contain elements that require processing of more than number points. The
default is MAXPOINTS=5000. This limit is ignored if you specify MAXPOINTS=NONE.
4050 F Chapter 53: The GLM Procedure

ONLY
suppresses the default plots. Only plots that you specifically request are displayed.

UNPACKPANEL
UNPACK
suppresses paneling. By default, multiple plots can appear in some output panels. Specify
UNPACKPANEL to get each plot in a separate panel. You can specify PLOTS(UNPACKPANEL)
to just unpack the default plots. You can also specify UNPACKPANEL as a suboption with
DIAGNOSTICS and RESIDUALS.

The following individual plots and plot options are available. If you specify only one plot , then you
can omit the parentheses.

ALL
produces all appropriate plots. You can specify other options with ALL; for example, to request
all plots and unpack just the residuals, specify: PLOTS=(ALL RESIDUALS(UNPACK)).

ANCOVAPLOT< (CLM CLI LIMITS) >

modifies the analysis of covariance plot produced by default when you have an analysis of covari-
ance model, with one or two CLASS variables and one continuous variable. By default the plot
does not show confidence limits around the predicted values. The PLOTS=ANCOVAPLOT(CLM)
option adds limits for the expected predicted values, and PLOTS=ANCOVAPLOT(CLI) adds
limits for new predictions. Use PLOTS=ANCOVAPLOT(LIMITS) to add both kinds of limits.

ANOMPLOT
requests an analysis-of-means display, in which least squares means are compared against an
average least squares mean (Ott 1967; Nelson 1982, 1991, 1993). LS-mean ANOM plots are
produced only if you also specify PDIFF=ANOM or ADJUST=NELSON in the LSMEANS
statement, and in this case they are produced by default.

BOXPLOT< (NPANELPOS=n) >

modifies the plot produced by default for the model effect in a one-way analysis of variance
model, or for an effect specified in the MEANS statement. Suppose the effect has m levels. By
default, or if you specify PLOTS=BOXPLOT(NPANELPOS=0), all m levels of the effect are
displayed in a single plot. Specifying a nonzero value of n will result in P panels, where P is the
integer part of m=n C 1. If n > 0, then the levels will be approximately balanced across the P
panels; whereas if n < 0, precisely jnj levels will be displayed on each panel except possibly the
last.

CONTOURFIT< (OBS=obs-options) >

modifies the contour fit plot produced by default when you have a model involving only two
continuous predictors. The plot displays a contour plot of the predicted surface overlaid with
a scatter plot of the observed data. You can use the following obs-options to control how the
observations are displayed:
 PROC GLM Statement F 4051

GRADIENT
specifies that observations are displayed as circles colored by the observed response. The
same color gradient is used to display the fitted surface and the observations. Observations
where the predicted response is close to the observed response have similar colors: the
greater the contrast between the color of an observation and the surface, the larger the
residual is at that point.

NONE
suppresses the observations.

OUTLINE
specifies that observations are displayed as circles with a border but with a completely
transparent fill.

OUTLINEGRADIENT
is the same as OBS=GRADIENT except that a border is shown around each observation. This
option is useful to identify the location of observations where the residuals are small, since
at these points the color of the observations and the color of the surface are indistinguishable.
OBS=OUTLINEGRADIENT is the default if you do not specify any obs-options.

CONTROLPLOT
requests a display in which least squares means are compared against a reference level. LS-mean
control plots are produced only when you specify PDIFF=CONTROL or ADJUST=DUNNETT
in the LSMEANS statement, and in this case they are produced by default.

DIAGNOSTICS< (LABEL UNPACK) >

requests that a panel of summary diagnostics for the fit be displayed. The panel displays scatter
plots of residuals, studentized residuals, and observed responses by predicted values; studentized
residuals by leverage; Cook’s D by observation; a Q-Q plot of residuals; a residual histogram;
and a residual-fit spread plot. The LABEL option displays labels on observations satisfying
RSTUDENT > 2, LEVERAGE > 2p=n, and on the Cook’s D plot, COOKSD > 4=n, where
n is the number of observations used in fitting the model, and p is the number of parameters in
the model. The label is the first ID variable if the ID statement is specified; otherwise, it is the
observation number. The UNPACK option unpanels the diagnostic display and produces the
series of individual plots that form the paneled display.

DIFFPLOT< (ABS NOABS CENTER NOLINES) >

modifies the plot produced by an LSMEANS statement with the PDIFF=ALL option (or just
PDIFF, since ALL is the default argument). The ABS and NOABS options determine the
positioning of the line segments in the plot. When the ABS option is in effect, and this is the
default, all line segments are shown on the same side of the reference line. The NOABS option
separates comparisons according to the sign of the difference. The CENTER option marks the
center point for each comparison. This point corresponds to the intersection of two least squares
means. The NOLINES option suppresses the display of the line segments that represent the
confidence bounds for the differences of the least squares means. The NOLINES option implies
the CENTER option. The default is to draw line segments in the upper portion of the plot area
without marking the center point.
4052 F Chapter 53: The GLM Procedure

FITPLOT< (NOCLM NOCLI NOLIMITS) >

modifies the fit plot produced by default when you have a model with a single continuous
predictor. By default the plot includes confidence limits for both the expected predicted values
and individual new predictions. The PLOTS=FITPLOT(NOCLM) option removes the limits
on the expected values and the PLOTS=FITPLOT(NOCLI) option removes the limits on new
predictions. The PLOTS=FITPLOT(NOLIMITS) option removes both kinds of confidence limits.

INTPLOT< (CLM CLI LIMITS) >

modifies the interaction plot that is produced by default when you have a two-way analysis of
variance model that has just two CLASS variables. By default, the plot does not show confidence
limits around the predicted values. The PLOTS=INTPLOT(CLM) option adds limits for the
expected predicted values and PLOTS=INTPLOT(CLI) adds limits for new predictions. Use
PLOTS=INTPLOT(LIMITS) to add both kinds of limits.

LINESPLOT< (WSCALE=wfactor HSCALE=hfactor ) >

modifies the dimensions of the means comparison plot that is produced by the LINES option
in the LSMEANS and MEANS statements. The default dimensions of the plot vary according
to aspects such as the number of groups, the number of CLASS variables in the effect, and
the number of parallel lines needed to represent comparisons. You can change the defaults by
specifying the following options:

HSCALE=hfactor
scales the default height of the plot by hfactor , which must be a positive number. For
example, specifying HSCALE=2 makes the plot twice as high as it would be by default.

WSCALE=wfactor
scales the default width of the plot by wfactor , which must be a positive number. For
example, specifying WSCALE=2 makes the plot twice as wide as it would be by default.

MEANPLOT< (CL CLBAND CONNECT ASCENDING DESCENDING) >

modifies the grouped box plot that is produced by an LSMEANS statement. Upper and lower
confidence limits are plotted when the CL option is specified. When the CLBAND option is in
effect, confidence limits are shown as bands and the means are connected. By default, means
are not joined by lines. You can achieve that effect by specifying the CONNECT option. Means
are displayed in the same order in which they appear in the “Means” table. You can change that
order for plotting by specifying the ASCENDING and DESCENDING options.

NESTPLOT< (BOXWIDTH=value CLUSTERWIDTH=value LABELOUTLIER) >

modifies the box plot that is produced by default when you have two CLASS variables
and one is nested within the other. By default, the plot does not label the outliers.
The PLOTS=NESTPLOT(BOXWIDTH=) option controls the width of the boxes, and the
PLOTS=NESTPLOT(CLUSTERWIDTH=) option controls how tightly the boxes are clustered to-
gether. You can specify the BOXWIDTH= and CLUSTERWIDTH= values as numbers between
0 and 1; the defaults are 0.8.
 ABSORB Statement F 4053

NONE
suppresses all graphics.

RESIDUALS< (SMOOTH UNPACK) >

displays scatter plots of the residuals against each continuous covariate. The SMOOTH option
overlays a Loess smooth on each residual plot. Note that if a WEIGHT variable is specified,
then it is not used to weight the smoother. For more information, see Chapter 78, “The LOESS
Procedure.” The UNPACK option unpanels the residual display and produces a series of individual
plots that form the paneled display.

ABSORB Statement
ABSORB variables ;

Absorption is a computational technique that provides a large reduction in time and memory requirements for
certain types of models. The variables are one or more variables in the input data set.
For a main-effect variable that does not participate in interactions, you can absorb the effect by naming it in
an ABSORB statement. This means that the effect can be adjusted out before the construction and solution
of the rest of the model. This is particularly useful when the effect has a large number of levels.
Several variables can be specified, in which case each one is assumed to be nested in the preceding variable
in the ABSORB statement.
N OTE : When you use the ABSORB statement, the data set (or each BY group, if a BY statement appears)
must be sorted by the variables in the ABSORB statement. The GLM procedure cannot produce predicted
values or least squares means (LS-means) or create an output data set of diagnostic values if an ABSORB
statement is used. If the ABSORB statement is used, it must appear before the first RUN statement; otherwise,
it is ignored.
When you use an ABSORB statement and also use the INT option in the MODEL statement, the procedure
ignores the option but computes the uncorrected total sum of squares (SS) instead of the corrected total sums
of squares.
See the section “Absorption” on page 4112 for more information.

BY Statement
BY variables ;

You can specify a BY statement in PROC GLM to obtain separate analyses of observations in groups that are
defined by the BY variables. When a BY statement appears, the procedure expects the input data set to be
sorted in order of the BY variables. If you specify more than one BY statement, only the last one specified is
used.
If your input data set is not sorted in ascending order, use one of the following alternatives:

 Sort the data by using the SORT procedure with a similar BY statement.
4054 F Chapter 53: The GLM Procedure

 Specify the NOTSORTED or DESCENDING option in the BY statement in the GLM procedure. The
NOTSORTED option does not mean that the data are unsorted but rather that the data are arranged
in groups (according to values of the BY variables) and that these groups are not necessarily in
alphabetical or increasing numeric order.

 Create an index on the BY variables by using the DATASETS procedure (in Base SAS software).

Since sorting the data changes the order in which PROC GLM reads observations, the sort order for the
levels of the classification variables might be affected if you also specify ORDER=DATA in the PROC GLM
statement. This, in turn, affects specifications in the CONTRAST and ESTIMATE statements.
If you specify the BY statement, it must appear before the first RUN statement; otherwise, it is ignored.
When you use a BY statement, the interactive features of PROC GLM are disabled.
When both the BY and ABSORB statements are used, observations must be sorted first by the variables in
the BY statement, and then by the variables in the ABSORB statement.
For more information about BY-group processing, see the discussion in SAS Language Reference: Concepts.
For more information about the DATASETS procedure, see the discussion in the Base SAS Procedures Guide.

CLASS Statement
CLASS variable < (REF= option) > . . . < variable < (REF= option) > > < / global-options > ;

The CLASS statement names the classification variables to be used in the model. Typical classification
variables are Treatment, Sex, Race, Group, and Replication. If you use the CLASS statement, it must appear
before the MODEL statement.
Classification variables can be either character or numeric. By default, class levels are determined from the
entire set of formatted values of the CLASS variables.
N OTE : Prior to SAS 9, class levels were determined by using no more than the first 16 characters of the
formatted values. To revert to this previous behavior, you can use the TRUNCATE option in the CLASS
statement.
In any case, you can use formats to group values into levels. See the discussion of the FORMAT procedure
in the Base SAS Procedures Guide and the discussions of the FORMAT statement and SAS formats in SAS
Formats and Informats: Reference. You can adjust the order of CLASS variable levels with the ORDER=
option in the PROC GLM statement.
The GLM procedure displays a table that summarizes the CLASS variables and their levels. You can use
this table to check the ordering of levels and, hence, of the corresponding parameters for main effects.
If you need to check the ordering of parameters for interaction effects, use the E option in the MODEL,
CONTRAST, ESTIMATE, or LSMEANS statement. See the section “Parameterization of PROC GLM
Models” on page 4098 for more information.
You can specify the following REF= option to indicate how the levels of an individual classification variable
are to be ordered by enclosing it in parentheses after the variable name:
 CODE Statement F 4055

REF=’level’ | FIRST | LAST

specifies a level of the classification variable to be put at the end of the list of levels. This level thus
corresponds to the reference level in the usual interpretation of the estimates with PROC GLM’s
singular parameterization. You can specify the level of the variable to use as the reference level; specify
a value that corresponds to the formatted value of the variable if a format is assigned. Alternatively, you
can specify REF=FIRST to designate that the first ordered level serve as the reference, or REF=LAST to
designate that the last ordered level serve as the reference. To specify that REF=FIRST or REF=LAST
be used for all classification variables, use the REF= global-option after the slash (/) in the CLASS
statement.

You can specify the following global-options in the CLASS statement after a slash (/):

REF=FIRST | LAST
specifies a level of all classification variables to be put at the end of the list of levels. This level
thus corresponds to the reference level in the usual interpretation of the estimates with PROC GLM’s
singular parameterization. Specify REF=FIRST to designate that the first ordered level for each
classification variable serve as the reference. Specify REF=LAST to designate that the last ordered
level serve as the reference. This option applies to all the variables specified in the CLASS statement. To
specify different reference levels for different classification variables, use REF= options for individual
variables.

TRUNCATE
specifies that class levels be determined by using only up to the first 16 characters of the formatted
values of CLASS variables. When formatted values are longer than 16 characters, you can use this
option to revert to the levels as determined in releases prior to SAS 9.

CODE Statement
CODE < options > ;

The CODE statement writes SAS DATA step code for computing predicted values of the fitted model either
to a file or to a catalog entry. This code can then be included in a DATA step to score new data.
Table 53.5 summarizes the options available in the CODE statement.
4056 F Chapter 53: The GLM Procedure

Table 53.5 CODE Statement Options

Option Description
CATALOG= Names the catalog entry where the generated code is saved
DUMMIES Retains the dummy variables in the data set
ERROR Computes the error function
FILE= Names the file where the generated code is saved
FORMAT= Specifies the numeric format for the regression coefficients
GROUP= Specifies the group identifier for array names and statement labels
IMPUTE Imputes predicted values for observations with missing or invalid
covariates
LINESIZE= Specifies the line size of the generated code
LOOKUP= Specifies the algorithm for looking up CLASS levels
RESIDUAL Computes residuals

For details about the syntax of the CODE statement, see the section “CODE Statement” on page 409 in
Chapter 20, “Shared Concepts and Topics.”

CONTRAST Statement
CONTRAST ’label’ effect values < . . . effect values > < / options > ;
The CONTRAST statement enables you to perform custom hypothesis tests by specifying an L vector or
matrix for testing the univariate hypothesis Lˇ D 0 or the multivariate hypothesis LBM D 0. Thus, to
use this feature you must be familiar with the details of the model parameterization that PROC GLM uses.
For more information, see the section “Parameterization of PROC GLM Models” on page 4098. All of the
elements of the L vector might be given, or if only certain portions of the L vector are given, the remaining
elements are constructed by PROC GLM from the context (in a manner similar to rule 4 discussed in the
section “Construction of Least Squares Means” on page 4132).
There is no limit to the number of CONTRAST statements you can specify, but they must appear after the
MODEL statement. In addition, if you use a CONTRAST statement and a MANOVA, REPEATED, or TEST
statement, appropriate tests for contrasts are carried out as part of the MANOVA, REPEATED, or TEST
analysis. If you use a CONTRAST statement and a RANDOM statement, the expected mean square of the
contrast is displayed. As a result of these additional analyses, the CONTRAST statement must appear before
the MANOVA, REPEATED, RANDOM, or TEST statement.
In the CONTRAST statement,

label identifies the contrast on the output. A label is required for every contrast specified. Labels
must be enclosed in quotes.
effect identifies an effect that appears in the MODEL statement, or the INTERCEPT effect. The
INTERCEPT effect can be used when an intercept is fitted in the model. You do not need
to include all effects that are in the MODEL statement.
values are constants that are elements of the L vector associated with the effect.

You can specify the following options in the CONTRAST statement after a slash (/).
 CONTRAST Statement F 4057

E
displays the entire L vector. This option is useful in confirming the ordering of parameters for
specifying L.

E=effect
specifies an error term, which must be one of the effects in the model. The procedure uses this effect
as the denominator in F tests in univariate analysis. In addition, if you use a MANOVA or REPEATED
statement, the procedure uses the effect specified by the E= option as the basis of the E matrix. By
default, the procedure uses the overall residual or error mean square (MSE) as an error term.

ETYPE=n
specifies the type (1, 2, 3, or 4, corresponding to a Type I, II, III, or IV test, respectively) of the E=
effect. If the E= option is specified and the ETYPE= option is not, the procedure uses the highest type
computed in the analysis.

SINGULAR=number
tunes the estimability checking. If ABS.L LH/ > C number for any row in the contrast, then L is
declared nonestimable. H is the .X0 X/ X0 X matrix, and C is ABS.L/ except for rows where L is zero,
and then it is 1. The default value for the SINGULAR= option is 10 4 . Values for the SINGULAR=
option must be between 0 and 1.
As stated previously, the CONTRAST statement enables you to perform custom hypothesis tests. If
the hypothesis is testable in the univariate case, SS(H0 W Lˇ D 0) is computed as

.Lb/0 .L.X0 X/ L0 / 1
.Lb/

where b D .X0 X/ X0 y. This is the sum of squares displayed on the analysis-of-variance table.
For multivariate testable hypotheses, the usual multivariate tests are performed using

H D M0 .LB/0 .L.X0 X/ L0 / 1
.LB/M

where B D .X0 X/ X0 Y and Y is the matrix of multivariate responses or dependent variables. The
degrees of freedom associated with the hypothesis are equal to the row rank of L. The sum of squares
computed in this situation is equivalent to the sum of squares computed using an L matrix with any
row deleted that is a linear combination of previous rows.
Multiple-degrees-of-freedom hypotheses can be specified by separating the rows of the L matrix with
commas.
For example, for the model

proc glm;
class A B;
model Y=A B;
run;

with A at 5 levels and B at 2 levels, the parameter vector is

. ˛1 ˛2 ˛3 ˛4 ˛5 ˇ1 ˇ2 /
4058 F Chapter 53: The GLM Procedure

To test the hypothesis that the pooled A linear and A quadratic effect is zero, you can use the following
L matrix:
 
0 2 1 0 1 2 0 0
LD
0 2 1 2 1 2 0 0

The corresponding CONTRAST statement is

contrast 'A LINEAR & QUADRATIC'

a -2 -1 0 1 2,
a 2 -1 -2 -1 2;

If the first level of A is a control level and you want a test of control versus others, you can use this
statement:

contrast 'CONTROL VS OTHERS' a -1 0.25 0.25 0.25 0.25;

See the following discussion of the ESTIMATE statement and the section “Specification of ESTIMATE
Expressions” on page 4115 for rules on specification, construction, distribution, and estimability in the
CONTRAST statement.

ESTIMATE Statement
ESTIMATE ’label’ effect values < . . . effect values > < / options > ;

The ESTIMATE statement enables you to estimate linear functions of the parameters by multiplying the
vector L by the parameter estimate vector b, resulting in Lb. All of the elements of the L vector might be
given, or, if only certain portions of the L vector are given, the remaining elements are constructed by PROC
GLM from the context (in a manner similar to rule 4 discussed in the section “Construction of Least Squares
Means” on page 4132).
The linear function is checked for estimability.
p The estimate Lb, where b D .X0 X/ X0 y, is displayed along
with its associated standard error, L.X X/ L0 s 2 , and t test. If you specify the CLPARM option in the
0

MODEL statement (see page 4081), confidence limits for the true value are also displayed.
There is no limit to the number of ESTIMATE statements that you can specify, but they must appear after the
MODEL statement. In the ESTIMATE statement,

label identifies the estimate on the output. A label is required for every contrast specified.
Labels must be enclosed in quotes.
effect identifies an effect that appears in the MODEL statement, or the INTERCEPT effect. The
INTERCEPT effect can be used as an effect when an intercept is fitted in the model. You
do not need to include all effects that are in the MODEL statement.
values are constants that are the elements of the L vector associated with the preceding effect.
For example,
 FREQ Statement F 4059

estimate 'A1 VS A2' A 1 -1;

forms an estimate that is the difference between the parameters estimated for the first and
second levels of the CLASS variable A.

You can specify the following options in the ESTIMATE statement after a slash (/):

DIVISOR=number
specifies a value by which to divide all coefficients so that fractional coefficients can be entered as
integer numerators. For example, you can use

estimate '1/3(A1+A2) - 2/3A3' a 1 1 -2 / divisor=3;

instead of

estimate '1/3(A1+A2) - 2/3A3' a 0.33333 0.33333 -0.66667;

E
displays the entire L vector. This option is useful in confirming the ordering of parameters for
specifying L.

SINGULAR=number
tunes the estimability checking. If ABS.L LH/ > C number , then the L vector is declared
nonestimable. H is the .X0 X/ X0 X matrix, and C is ABS.L/ except for rows where L is zero, and then
it is 1. The default value for the SINGULAR= option is 10 4 . Values for the SINGULAR= option
must be between 0 and 1.
See also the section “Specification of ESTIMATE Expressions” on page 4115.

FREQ Statement
FREQ variable ;

The FREQ statement names a variable that provides frequencies for each observation in the DATA= data set.
Specifically, if n is the value of the FREQ variable for a given observation, then that observation is used n
times.
The analysis produced using a FREQ statement reflects the expanded number of observations. For example,
means and total degrees of freedom reflect the expanded number of observations. You can produce the same
analysis (without the FREQ statement) by first creating a new data set that contains the expanded number
of observations. For example, if the value of the FREQ variable is 5 for the first observation, the first 5
observations in the new data set are identical. Each observation in the old data set is replicated ni times in
the new data set, where ni is the value of the FREQ variable for that observation.
If the value of the FREQ variable is missing or is less than 1, the observation is not used in the analysis. If
the value is not an integer, only the integer portion is used.
If you specify the FREQ statement, it must appear before the first RUN statement or it is ignored.
4060 F Chapter 53: The GLM Procedure

ID Statement
ID variables ;

When predicted values are requested as a MODEL statement option, values of the variables given in the ID
statement are displayed beside each observed, predicted, and residual value for identification. Although there
are no restrictions on the length of ID variables, PROC GLM might truncate the number of values listed in
order to display them on one line. The GLM procedure displays a maximum of five ID variables.
If you specify the ID statement, it must appear before the first RUN statement or it is ignored.

LSMEANS Statement
LSMEANS effects < / options > ;

Table 53.6 summarizes the options available in the LSMEANS statement.

Table 53.6 LSMEANS Statement Options

Option Description
ADJUST= Requests a multiple comparison adjustment
ALPHA= Specifies the level of significance
AT Enables you to modify the values of the covariates
BYLEVEL Processes the OM data set by each level of the LS-mean effect
CL Requests confidence limits
COV Includes variances and covariances of the LS-means
E Displays the coefficients of the linear functions
E= Specifies an effect in the model to use as an error term
ETYPE= Specifies the type of the E= effect
LINES Uses connecting lines to indicate nonsignificantly different subsets of
LS-means
LINESTABLE Displays the results of the LINES option as a table
NOPRINT Suppresses the normal display of results
OBSMARGINS Specifies a potentially different weighting scheme
OUT= Creates an output data set
PDIFF Requests that p-values for differences
PLOT= Requests graphics related to least squares means
SLICE= Specifies effects within which to test for differences
SINGULAR= Tunes the estimability checking
STDERR Produces the standard error
TDIFF Produces the t values

Least squares means (LS-means) are computed for each effect listed in the LSMEANS statement. You can
specify only classification effects in the LSMEANS statement—that is, effects that contain only classification
variables. You can also specify options to perform multiple comparisons. In contrast to the MEANS statement,
the LSMEANS statement performs multiple comparisons on interactions as well as main effects.
 LSMEANS Statement F 4061

LS-means are predicted population margins; that is, they estimate the marginal means over a balanced
population. In a sense, LS-means are to unbalanced designs as class and subclass arithmetic means are to
balanced designs. Each LS-mean is computed as L0 b for a certain column vector L, where b is the vector of
parameter estimates—that is, the solution of the normal equations. For further information, see the section
“Construction of Least Squares Means” on page 4132.
Multiple effects can be specified in one LSMEANS statement, or multiple LSMEANS statements can be
used, but they must all appear after the MODEL statement. For example:

proc glm;
class A B;
model Y=A B A*B;
lsmeans A B A*B;
run;
LS-means are displayed for each level of the A, B, and A*B effects.
You can specify the following options in the LSMEANS statement after a slash (/):

ADJUST=BON
ADJUST=DUNNETT
ADJUST=NELSON
ADJUST=SCHEFFE
ADJUST=SIDAK
ADJUST=SIMULATE < (simoptions) >
ADJUST=SMM | GT2
ADJUST=TUKEY
ADJUST=T
requests a multiple comparison adjustment for the p-values and confidence limits for the differences
of LS-means. The ADJUST= option modifies the results of the TDIFF and PDIFF options; thus, if
you omit the TDIFF or PDIFF option then the ADJUST= option implies PDIFF. By default, PROC
GLM analyzes all pairwise differences. If you specify ADJUST=DUNNETT, PROC GLM analyzes
all differences with a control level. If you specify the ADJUST=NELSON option, PROC GLM
analyzes all differences with the average LS-mean. The default is ADJUST=T, which really signifies
no adjustment for multiple comparisons.
The BON (Bonferroni) and SIDAK adjustments involve correction factors described in the section
“Multiple Comparisons” on page 4119 and in Chapter 86, “The MULTTEST Procedure.” When
you specify ADJUST=TUKEY and your data are unbalanced, PROC GLM uses the approximation
described in Kramer (1956) and identifies the adjustment as “Tukey-Kramer” in the results. Similarly,
when you specify either ADJUST=DUNNETT or the ADJUST=NELSON option and the LS-means
are correlated, PROC GLM uses the factor-analytic covariance approximation described in Hsu (1992)
and identifies the adjustment in the results as “Dunnett-Hsu” or “Nelson-Hsu,” respectively. The
preceding references also describe the SCHEFFE and SMM adjustments.
The SIMULATE adjustment computes the adjusted p-values from the simulated distribution of the
maximum or maximum absolute value of a multivariate t random vector. The simulation estimates q,
the true .1 ˛/ quantile, where 1 ˛ is the confidence coefficient. The default ˛ is the value of the
ALPHA= option in the PROC GLM statement or 0.05 if that option is not specified. You can change
this value with the ALPHA= option in the LSMEANS statement.
4062 F Chapter 53: The GLM Procedure

The number of samples for the SIMULATE adjustment is set so that the tail area for the simulated q is
within a certain accuracy radius of 1 ˛ with an accuracy confidence of 100.1 /%. In equation
form,

O
P .jF .q/ .1 ˛/j  / D 1 

where qO is the simulated q and F is the true distribution function of the maximum; see Edwards and
Berry (1987) for details. By default, = 0.005 and  = 0.01, so that the tail area of qO is within 0.005 of
0.95 with 99% confidence.
You can specify the following simoptions in parentheses after the ADJUST=SIMULATE option.

ACC=value
specifies the target accuracy radius of a 100.1 /% confidence interval for the true probability
content of the estimated .1 ˛/ quantile. The default value is ACC=0.005. Note that, if you also
specify the CVADJUST simoption, then the actual accuracy radius will probably be substantially
less than this target.

CVADJUST
specifies that the quantile should be estimated by the control variate adjustment method of Hsu
and Nelson (1998) instead of simply as the quantile of the simulated sample. Specifying the
CVADJUST option typically has the effect of significantly reducing the accuracy radius of
a 100  .1 /% confidence interval for the true probability content of the estimated .1 ˛/
quantile. The control-variate-adjusted quantile estimate takes roughly twice as long to compute,
but it is typically much more accurate than the sample quantile.

EPS=value
specifies the value  for a 100  .1 /% confidence interval for the true probability content of the
estimated .1 ˛/ quantile. The default value for the accuracy confidence is 99%, corresponding
to EPS=0.01.

NSAMP=n
specifies the sample size for the simulation. By default, n is set based on the values of the target
accuracy radius and accuracy confidence 100  .1 /% for an interval for the true probability
content of the estimated .1 ˛/ quantile. With the default values for , , and ˛ (0.005, 0.01,
and 0.05, respectively), NSAMP=12604 by default.

REPORT
specifies that a report on the simulation should be displayed, including a listing of the parameters,
such as , , and ˛, as well as an analysis of various methods for estimating or approximating the
quantile.

SEED=number
specifies an integer used to start the pseudo-random number generator for the simulation. If you
do not specify a seed, or specify a value less than or equal to zero, the seed is by default generated
from reading the time of day from the computer’s clock.
 LSMEANS Statement F 4063

THREADS
specifies that the computational work for the simulation be divided into parallel threads, where
the number of threads is the value of the SAS system option CPUCOUNT=. For large simulations
(as specified directly using the NSAMP= simoption or indirectly using the ACC= or EPS=
simoptions), parallel processing can markedly speed up the computation of adjusted p-values and
confidence intervals. However, because the parallel processing has different pseudo-random num-
ber streams, the precise results are different from the default ones, which are computed in sequence
rather than in parallel. This option overrides the SAS system option THREADS | NOTHREADS.

NOTHREADS
specifies that the computational work for the simulation be performed in sequence rather
than in parallel. NOTHREADS is the default. This option overrides the SAS system option
THREADS | NOTHREADS.

ALPHA=p
specifies the level of significance p for 100.1 p/% confidence intervals. This option is useful only if
you also specify the CL option, and, optionally, the PDIFF option. By default, p is equal to the value
of the ALPHA= option in the PROC GLM statement or 0.05 if that option is not specified, This value
is used to set the endpoints for confidence intervals for the individual means as well as for differences
between means.

AT variable = value
AT (variable-list)= (value-list)
AT MEANS
enables you to modify the values of the covariates used in computing LS-means. By default, all
covariate effects are set equal to their mean values for computation of standard LS-means. The
AT option enables you to set the covariates to whatever values you consider interesting. For more
information, see the section “Setting Covariate Values” on page 4133.

BYLEVEL
requests that PROC GLM process the OM data set by each level of the LS-mean effect in question. For
more details, see the entry for the OM option in this section.

CL
requests confidence limits for the individual LS-means. If you specify the PDIFF option, confidence
limits for differences between means are produced as well. You can control the confidence level with
the ALPHA= option. Note that, if you specify an ADJUST= option, the confidence limits for the
differences are adjusted for multiple inference but the confidence intervals for individual means are
not adjusted.

COV
includes variances and covariances of the LS-means in the output data set specified in the OUT= option
in the LSMEANS statement. Note that this is the covariance matrix for the LS-means themselves,
not the covariance matrix for the differences between the LS-means, which is used in the PDIFF
computations. If you omit the OUT= option, the COV option has no effect. When you specify the
COV option, you can specify only one effect in the LSMEANS statement.
4064 F Chapter 53: The GLM Procedure

E
displays the coefficients of the linear functions used to compute the LS-means.

E=effect
specifies an effect in the model to use as an error term. The procedure uses the mean square for
the effect as the error mean square when calculating estimated standard errors (requested with the
STDERR option) and probabilities (requested with the STDERR, PDIFF, or TDIFF option). Unless
you specify STDERR, PDIFF or TDIFF, the E= option is ignored. By default, if you specify the
STDERR, PDIFF, or TDIFF option and do not specify the E= option, the procedure uses the error
mean square for calculating standard errors and probabilities.

ETYPE=n
specifies the type (1, 2, 3, or 4, corresponding to a Type I, II, III, or IV test, respectively) of the E=
effect. If you specify the E= option but not the ETYPE= option, the highest type computed in the
analysis is used. If you omit the E= option, the ETYPE= option has no effect.

LINES
presents results of comparisons between all pairs of LS-means (as specified by the PDIFF=ALL option)
by listing the LS-means in descending order and indicating nonsignificant subsets by line segments
beside the corresponding LS-means. When all differences have the same variance, these comparison
lines are guaranteed to accurately reflect the inferences that are based on the corresponding tests, which
compare the respective p-values to the value of the ALPHA= option (0.05 by default). However, equal
variances are rarely the case for differences between LS-means. If the variances are not all the same,
then the comparison lines might be conservative, in the sense that if you base your inferences on the
lines alone, you will detect fewer significant differences than the tests indicate. If there are any such
differences, PROC GLM appends to the table a note that lists the pairs of LS-means that are inferred to
be significantly different by the tests but not by the comparison lines. Note that in many cases, even
though the variances are unbalanced, they are near enough that the comparison lines actually do reflect
the test inferences accurately.
If ODS Graphics is enabled, then the LINES display is produced in graphical form by default. To
display it in tabular form, use the LINESTABLE option.

LINESTABLE
presents the results that are described in the LINES option as a table.

NOPRINT
suppresses the normal display of results from the LSMEANS statement. This option is useful when an
output data set is created with the OUT= option in the LSMEANS statement.

OBSMARGINS
OM
specifies a potentially different weighting scheme for computing LS-means coefficients. The standard
LS-means have equal coefficients across classification effects; however, the OM option changes these
coefficients to be proportional to those found in the input data set. For more information, see the
section “Changing the Weighting Scheme” on page 4134.
The BYLEVEL option modifies the observed-margins LS-means. Instead of computing the margins
across the entire data set, the procedure computes separate margins for each level of the LS-mean
effect in question. The resulting LS-means are actually equal to raw means in this case. If you specify
the BYLEVEL option, it disables the AT option.
 LSMEANS Statement F 4065

OUT=SAS-data-set
creates an output data set that contains the values, standard errors, and, optionally, the covariances (see
the COV option) of the LS-means.
For more information, see the section “Output Data Sets” on page 4152.

PDIFF< =difftype >

requests that p-values for differences of the LS-means be produced. The optional difftype specifies
which differences to display. Possible values for difftype are ALL, CONTROL, CONTROLL, CON-
TROLU, and ANOM. The ALL value requests all pairwise differences, and it is the default. The
CONTROL value requests the differences with a control that, by default, is the first level of each of
the specified LS-mean effects. The ANOM value requests differences between each LS-mean and
the average LS-mean, as in the analysis of means (Ott 1967). The average is computed as a weighted
mean of the LS-means, the weights being inversely proportional to the variances. Note that the ANOM
procedure in SAS/QC software implements both tables and graphics for the analysis of means with a
variety of response types. For one-way designs, the PDIFF=ANOM computations are equivalent to
the results of PROC ANOM. See the section “Analysis of Means: Comparing Each Treatments to the
Average” on page 4125 for more details.
To specify which levels of the effects are the controls, list the quoted formatted values in parentheses
after the keyword CONTROL. For example, if the effects A, B, and C are CLASS variables, each
having two levels, ’1’ and ’2’, the following LSMEANS statement specifies the ’1’ ’2’ level of A*B
and the ’2’ ’1’ level of B*C as controls:

lsmeans A*B B*C / pdiff=control('1' '2', '2' '1');

For multiple-effect situations such as this one, the ordering of the list is significant, and you should
check the output to make sure that the controls are correct.
Two-tailed tests and confidence limits are associated with the CONTROL difftype. For one-tailed
results, use either the CONTROLL or CONTROLU difftype.

 CONTROLL tests whether the noncontrol levels are less than the control; you declare a noncon-
trol level to be significantly less than the control if the associated upper confidence limit for
the noncontrol level minus the control is less than zero, and you ignore the associated lower
confidence limits (which are set to minus infinity).
 CONTROLU tests whether the noncontrol levels are greater than the control; you declare a
noncontrol level to be significantly greater than the control if the associated lower confidence
limit for the noncontrol level minus the control is greater than zero, and you ignore the associated
upper confidence limits (which are set to infinity).

The default multiple comparisons adjustment for each difftype is shown in the following table.
4066 F Chapter 53: The GLM Procedure

difftype Default ADJUST=

Not specified T
ALL TUKEY
CONTROL
CONTROLL DUNNETT
CONTROLU

ANOM NELSON

If no difftype is specified, the default for the ADJUST= option is T (that is, no adjustment); for
PDIFF=ALL, ADJUST=TUKEY is the default; for PDIFF=CONTROL, PDIFF=CONTROLL, or
PDIFF=CONTROLU, the default value for the ADJUST= option is DUNNETT. For PDIFF=ANOM,
ADJUST=NELSON is the default. If there is a conflict between the PDIFF= and ADJUST= options,
the ADJUST= option takes precedence.
For example, in order to compute one-sided confidence limits for differences with a control, adjusted
according to Dunnett’s procedure, the following statements are equivalent:

lsmeans Treatment / pdiff=controll cl;

lsmeans Treatment / pdiff=controll cl adjust=dunnett;

PLOT | PLOTS< =plot-request< (options) > >

PLOT | PLOTS< =(plot-request< (options) > < . . . plot-request< (options) > >) >
requests that graphics related to least squares means be produced via ODS Graphics, provided that
ODS Graphics is enabled and the plot-request does not conflict with other options in the LSMEANS
statement. For general information about ODS Graphics, see Chapter 24, “Statistical Graphics Using
ODS.”
The available options and suboptions are as follows:

ALL
requests that the default plots that correspond to this LSMEANS statement be produced. The
default plot depends on the options in the statement.

ANOMPLOT
ANOM
requests an analysis-of-means display in which least squares means are compared to an average
least squares mean. Least squares mean ANOM plots are produced only for those model effects
that are listed in LSMEANS statements and have options that do not contradict with the display.
For example, the following statements produce analysis-of-mean plots for effects A and C:

lsmeans A / diff=anom plot=anom;

lsmeans B / diff plot=anom;
lsmeans C / plot=anom;

The PDIFF option in the second LSMEANS statement implies all pairwise differences.
 LSMEANS Statement F 4067

CONTROLPLOT
CONTROL
requests a display in which least squares means are visually compared against a reference level.
These plots are produced only for statements with options that are compatible with control
differences. For example, the following statements produce control plots for effects A and C:

lsmeans A / diff=control('1') plot=control;

lsmeans B / diff plot=control;
lsmeans C plot=control;

The PDIFF option in the second LSMEANS statement implies all pairwise differences.

DIFFPLOT< (diffplot-options) >

DIFFOGRAM< (diffplot-options) >
requests a display of all pairwise least squares mean differences and their significance. The
display is also known as a “mean-mean scatter plot” when it is based on arithmetic means (Hsu
1996; Hsu and Peruggia 1994). For each comparison a line segment, centered at the LS-means in
the pair, is drawn. The length of the segment corresponds to the projected width of a confidence
interval for the least squares mean difference. Segments that fail to cross the 45-degree reference
line correspond to significant least squares mean differences.
LS-mean difference plots are produced only for statements with options that are compatible with
the display. For example, the following statements request differences against a control level for
the A effect, all pairwise differences for the B effect, and the least squares means for the C effect:

lsmeans A / diff=control('1') plot=diffplot;

lsmeans B / diff plot=diffplot;
lsmeans C plot=diffplot;

The PDIFF= type in the first statement is incompatible with a display of all pairwise differences.
You can specify the following diffplot-options:

ABS
determines the positioning of the line segments in the plot. This is the default diffplot-options.
When the ABS option is in effect, all line segments are shown on the same side of the
reference line.

NOABS
determines the positioning of the line segments in the plot. The NOABS option separates
comparisons according to the sign of the difference.

CENTER
marks the center point for each comparison. This point corresponds to the intersection of
two least squares means.
4068 F Chapter 53: The GLM Procedure

NOLINES
suppresses the display of the line segments that represent the confidence bounds for the
differences of the least squares means. The NOLINES option implies the CENTER option.
The default is to draw line segments in the upper portion of the plot area without marking
the center point.

LINESPLOT< (WSCALE=wfactor HSCALE=hfactor ) >

modifies the dimensions of the LS-means comparison plot that is produced by the LINES option.
The default dimensions of the plot vary depending on aspects such as the number of groups, the
number of CLASS variables in the effect, and the number of parallel lines that are needed to
represent comparisons. You can change the defaults by specifying the following options:

HSCALE=hfactor
scales the default height of the plot by hfactor , which must be a positive number. For
example, specifying HSCALE=2 makes the plot twice as high as it would be by default.

WSCALE=wfactor
scales the default width of the plot by wfactor , which must be a positive number. For
example, specifying WSCALE=2 makes the plot twice as wide as it would be by default.

MEANPLOT< (meanplot-options) >

requests displays of the least squares means.
The following meanplot-options control the display of the least squares means.

ASCENDING
displays the least squares means in ascending order. This option has no effect if means are
displayed in separate plots.

CL
displays upper and lower confidence limits for the least squares means. By default, 95%
limits are drawn. You can change the confidence level with the ALPHA= option. Confidence
limits are drawn by default if the CL option is specified in the LSMEANS statement.

CLBAND
displays confidence limits as bands. This option implies the JOIN option.

DESCENDING
displays the least squares means in descending order. This option has no effect if means are
displayed in separate plots.

ILINK
requests that means (and confidence limits) be displayed on the inverse linked scale.

JOIN
CONNECT
connects the least squares means with lines. This option is implied by the CLBAND option.
 MANOVA Statement F 4069

NONE
requests that no plots be produced.

When LS-mean calculations are adjusted for multiplicity by using the ADJUST= option, the plots are
adjusted accordingly.

SLICE=fixed-effect | (fixed-effects)
specifies effects within which to test for differences between interaction LS-mean effects. This can
produce what are known as tests of simple effects (Winer 1971). For example, suppose that A*B is
significant and you want to test for the effect of A within each level of B. The appropriate LSMEANS
statement is

lsmeans A*B / slice=B;

This statement tests for the simple main effects of A for B, which are calculated by extracting the
appropriate rows from the coefficient matrix for the A*B LS-means and using them to form an F test
as performed by the CONTRAST statement.

SINGULAR=number
tunes the estimability checking. If ABS.L LH/ > C number for any row, then L is declared
nonestimable. H is the .X0 X/ X0 X matrix, and C is ABS.L/ except for rows where L is zero, and then
it is 1. The default value for the SINGULAR= option is 10 4 . Values for the SINGULAR= option
must be between 0 and 1.

STDERR
produces the standard error of the LS-means and the probability level for the hypothesis
H0 W LS-mean D 0.

TDIFF
produces the t values for all hypotheses H0 W LS-mean.i / D LS-mean.j / and the corresponding
probabilities.

MANOVA Statement
MANOVA < test-options > < / detail-options > ;

If the MODEL statement includes more than one dependent variable, you can perform multivariate analysis of
variance with the MANOVA statement. The test-options define which effects to test, while the detail-options
specify how to execute the tests and what results to display. Table 53.7 summarizes the options available in
the MANOVA statement.

Table 53.7 MANOVA Statement Options

Option Description
Test Options
H= Specifies hypothesis effects
E= Specifies the error effect
M= Specifies a transformation matrix for the dependent variables
4070 F Chapter 53: The GLM Procedure

Table 53.7 continued

Option Description
MNAMES= Provides names for the transformed variables
PREFIX= Alternatively identifies the transformed variables
Detail Options
CANONICAL Displays a canonical analysis of the H and E matrices
ETYPE= Specifies the type of the E matrix
HTYPE= Specifies the type of the H matrix
MSTAT= Specifies the method of evaluating the multivariate test statistics
ORTH Orthogonalizes the rows of the transformation matrix
PRINTE Displays the error SSCP matrix E
PRINTH Displays the hypothesis SSCP matrix H
SUMMARY Produces analysis-of-variance tables for each dependent variable

When a MANOVA statement appears before the first RUN statement, PROC GLM enters a multivariate
mode with respect to the handling of missing values; in addition to observations with missing independent
variables, observations with any missing dependent variables are excluded from the analysis. If you want to
use this mode of handling missing values and do not need any multivariate analyses, specify the MANOVA
option in the PROC GLM statement.
If you use both the CONTRAST and MANOVA statements, the MANOVA statement must appear after the
CONTRAST statement.

Test Options
The following options can be specified in the MANOVA statement as test-options in order to define which
multivariate tests to perform.

H=effects | INTERCEPT | _ALL_

specifies effects in the preceding model to use as hypothesis matrices. For each H matrix (the SSCP
matrix associated with an effect), the H= specification displays the characteristic roots and vectors
of E 1 H (where E is the matrix associated with the error effect), along with the Hotelling-Lawley
trace, Pillai’s trace, Wilks’ lambda, and Roy’s greatest root. By default, these statistics are tested with
approximations based on the F distribution. To test them with exact (but computationally intensive)
calculations, use the MSTAT=EXACT option.
Use the keyword INTERCEPT to produce tests for the intercept. To produce tests for all effects listed
in the MODEL statement, use the keyword _ALL_ in place of a list of effects.
For background and further details, see the section “Multivariate Analysis of Variance” on page 4135.

E=effect
specifies the error effect. If you omit the E= specification, the GLM procedure uses the error SSCP
(residual) matrix from the analysis.
 MANOVA Statement F 4071

M=equation,. . . ,equation | (row-of-matrix,. . . ,row-of-matrix)

specifies a transformation matrix for the dependent variables listed in the MODEL statement. The
equations in the M= specification are of the form
c1  dependent-variable ˙ c2  dependent-variable



˙ cn  dependent-variable

where the ci values are coefficients for the various dependent-variables. If the value of a given ci is
1, it can be omitted; in other words 1  Y is the same as Y. Equations should involve two or more
dependent variables. For sample syntax, see the section “Examples” on page 4072.
Alternatively, you can input the transformation matrix directly by entering the elements of the matrix
with commas separating the rows and parentheses surrounding the matrix. When this alternate form
of input is used, the number of elements in each row must equal the number of dependent variables.
Although these combinations actually represent the columns of the M matrix, they are displayed by
rows.
When you include an M= specification, the analysis requested in the MANOVA statement is carried out
for the variables defined by the equations in the specification, not the original dependent variables. If
you omit the M= option, the analysis is performed for the original dependent variables in the MODEL
statement.
If an M= specification is included without either the MNAMES= or PREFIX= option, the variables
are labeled MVAR1, MVAR2, and so forth, by default. For further information, see the section
“Multivariate Analysis of Variance” on page 4135.
MNAMES=names
provides names for the variables defined by the equations in the M= specification. Names in the list
correspond to the M= equations or to the rows of the M matrix (as it is entered).
PREFIX=name
is an alternative means of identifying the transformed variables defined by the M= specification. For
example, if you specify PREFIX=DIFF, the transformed variables are labeled DIFF1, DIFF2, and so
forth.

Detail Options
You can specify the following options in the MANOVA statement after a slash (/) as detail-options.
CANONICAL
displays a canonical analysis of the H and E matrices (transformed by the M matrix, if specified)
instead of the default display of characteristic roots and vectors.
ETYPE=n
specifies the type (1, 2, 3, or 4, corresponding to a Type I, II, III, or IV test, respectively) of the
E matrix, the SSCP matrix associated with the E= effect. You need this option if you use the E=
specification to specify an error effect other than residual error and you want to specify the type of
sums of squares used for the effect. If you specify ETYPE=n, the corresponding test must have been
performed in the MODEL statement, either by options SSn, En, or the default Type I and Type III tests.
By default, the procedure uses an ETYPE= value corresponding to the highest type (largest n) used in
the analysis.
4072 F Chapter 53: The GLM Procedure

HTYPE=n
specifies the type (1, 2, 3, or 4, corresponding to a Type I, II, III, or IV test, respectively) of the H
matrix. See the ETYPE= option for more details.

MSTAT=FAPPROX | EXACT
specifies the method of evaluating the multivariate test statistics. The default is MSTAT=FAPPROX,
which specifies that the multivariate tests are evaluated using the usual approximations based on
the F distribution, as discussed in the section “Multivariate Tests” in Chapter 5, “Introduction to
Regression Procedures.” Alternatively, you can specify MSTAT=EXACT to compute exact p-values
for three of the four tests (Wilks’ lambda, the Hotelling-Lawley trace, and Roy’s greatest root) and
an improved F approximation for the fourth (Pillai’s trace). While MSTAT=EXACT provides better
control of the significance probability for the tests, especially for Roy’s greatest root, computations for
the exact p-values can be appreciably more demanding, and are in fact infeasible for large problems
(many dependent variables). Thus, although MSTAT=EXACT is more accurate for most data, it is
not the default method. For more information about the results of MSTAT=EXACT, see the section
“Multivariate Analysis of Variance” on page 4135.

ORTH
requests that the transformation matrix in the M= specification of the MANOVA statement be orthonor-
malized by rows before the analysis.

PRINTE
displays the error SSCP matrix E. If the E matrix is the error SSCP (residual) matrix from the analysis,
the partial correlations of the dependent variables given the independent variables are also produced.
For example, the statement

manova / printe;

displays the error SSCP matrix and the partial correlation matrix computed from the error SSCP matrix.

PRINTH
displays the hypothesis SSCP matrix H associated with each effect specified by the H= specification.

SUMMARY
produces analysis-of-variance tables for each dependent variable. When no M matrix is specified, a
table is displayed for each original dependent variable from the MODEL statement; with an M matrix
other than the identity, a table is displayed for each transformed variable defined by the M matrix.

Examples
The following statements provide several examples of using a MANOVA statement.

proc glm;
class A B;
model Y1-Y5=A B(A) / nouni;
manova h=A e=B(A) / printh printe htype=1 etype=1;
manova h=B(A) / printe;
manova h=A e=B(A) m=Y1-Y2,Y2-Y3,Y3-Y4,Y4-Y5
prefix=diff;
manova h=A e=B(A) m=(1 -1 0 0 0,
 MANOVA Statement F 4073

0 1 -1 0 0,
0 0 1 -1 0,
0 0 0 1 -1) prefix=diff;
run;
Since this MODEL statement requests no options for type of sums of squares, the procedure uses Type I
and Type III sums of squares. The first MANOVA statement specifies A as the hypothesis effect and B(A)
as the error effect. As a result of the PRINTH option, the procedure displays the hypothesis SSCP matrix
associated with the A effect; and, as a result of the PRINTE option, the procedure displays the error SSCP
matrix associated with the B(A) effect. The option HTYPE=1 specifies a Type I H matrix, and the option
ETYPE=1 specifies a Type I E matrix.
The second MANOVA statement specifies B(A) as the hypothesis effect. Since no error effect is specified,
PROC GLM uses the error SSCP matrix from the analysis as the E matrix. The PRINTE option displays
this E matrix. Since the E matrix is the error SSCP matrix from the analysis, the partial correlation matrix
computed from this matrix is also produced.
The third MANOVA statement requests the same analysis as the first MANOVA statement, but the analysis is
carried out for variables transformed to be successive differences between the original dependent variables.
The option PREFIX=DIFF labels the transformed variables as DIFF1, DIFF2, DIFF3, and DIFF4.
Finally, the fourth MANOVA statement has the identical effect as the third, but it uses an alternative form of
the M= specification. Instead of specifying a set of equations, the fourth MANOVA statement specifies rows
of a matrix of coefficients for the five dependent variables.
As a second example of the use of the M= specification, consider the following:

proc glm;
class group;
model dose1-dose4=group / nouni;
manova h = group
m = -3*dose1 - dose2 + dose3 + 3*dose4,
dose1 - dose2 - dose3 + dose4,
-dose1 + 3*dose2 - 3*dose3 + dose4
mnames = Linear Quadratic Cubic
/ printe;
run;
The M= specification gives a transformation of the dependent variables dose1 through dose4 into orthogonal
polynomial components, and the MNAMES= option labels the transformed variables LINEAR, QUADRATIC,
and CUBIC, respectively. Since the PRINTE option is specified and the default residual matrix is used as an
error term, the partial correlation matrix of the orthogonal polynomial components is also produced.
4074 F Chapter 53: The GLM Procedure

MEANS Statement
MEANS effects < / options > ;

Within each group corresponding to each effect specified in the MEANS statement, PROC GLM computes
the arithmetic means and standard deviations of all continuous variables in the model (both dependent and
independent). You can specify only classification effects in the MEANS statement—that is, effects that
contain only classification variables.
Note that the arithmetic means are not adjusted for other effects in the model; for adjusted means, see the
section “LSMEANS Statement” on page 4060.
If you use a WEIGHT statement, PROC GLM computes weighted means; see the section “Weighted Means”
on page 4132.
You can also specify options to perform multiple comparisons. However, the MEANS statement performs
multiple comparisons only for main-effect means; for multiple comparisons of interaction means, see the
section “LSMEANS Statement” on page 4060.
You can use any number of MEANS statements, provided that they appear after the MODEL statement. For
example, suppose A and B each have two levels. Then, if you use the statements

proc glm;
class A B;
model Y=A B A*B;
means A B / tukey;
means A*B;
run;
the means, standard deviations, and Tukey’s multiple comparisons tests are displayed for each level of
the main effects A and B, and just the means and standard deviations are displayed for each of the four
combinations of levels for A*B. Since multiple comparisons tests apply only to main effects, the single
MEANS statement

means A B A*B / tukey;

produces the same results.
PROC GLM does not compute means for interaction effects containing continuous variables. Thus, if you
have the model

class A;
model Y=A X A*X;
then the effects X and A*X cannot be used in the MEANS statement. However, if you specify the effect A in
the means statement

means A;
then PROC GLM, by default, displays within-A arithmetic means of both Y and X. You can use the DEPONLY
option to display means of only the dependent variables.
 MEANS Statement F 4075

means A / deponly;
If you use a WEIGHT statement, PROC GLM computes weighted means and estimates their variance as
inversely proportional to the corresponding sum of weights (see the section “Weighted Means” on page 4132).
However, note that the statistical interpretation of multiple comparison tests for weighted means is not well
understood. See the section “Multiple Comparisons” on page 4119 for formulas. Table 53.8 summarizes the
options available in the MEANS statement.

Table 53.8 MEANS Statement Options

Option Description
Modify Output
DEPONLY Displays only means for the dependent variables
Perform Multiple Comparison Tests
BON Performs Bonferroni t tests
DUNCAN Performs Duncan’s multiple range test
DUNNETT Performs Dunnett’s two-tailed t test
DUNNETTL Performs Dunnett’s lower one-tailed t test
DUNNETTU Performs Dunnett’s upper one-tailed t test
GABRIEL Performs Gabriel’s multiple-comparison procedure
REGWQ Performs the Ryan-Einot-Gabriel-Welsch multiple range test
SCHEFFE Performs Scheffé’s multiple-comparison procedure
SIDAK Performs pairwise t tests on differences between means
SMM or GT2 Performs pairwise comparisons based on the studentized maximum modulus
and Sidak’s uncorrelated-t inequality
SNK Performs the Student-Newman-Keuls multiple range test
T or LSD Performs pairwise t tests
TUKEY Performs Tukey’s studentized range test (HSD)
WALLER Performs the Waller-Duncan k-ratio t test
Specify Additional Details for Multiple Comparison Tests
ALPHA= Specifies the level of significance
CLDIFF Presents confidence intervals for all pairwise differences between means
CLM Presents results as intervals for the mean of each level of the variables
E= Specifies the error mean square used in the multiple comparisons
ETYPE= Specifies the type of mean square for the error effect
HTYPE= Specifies the MS type for the hypothesis MS
KRATIO= Specifies the Type 1/Type 2 error seriousness ratio
LINES Displays the means in descending order and indicates nonsignificant subsets
by line segments
LINESTABLE Displays the results of the LINES option as a table
NOSORT Prevents the means from being sorted into descending order
Test for Homogeneity of Variances
HOVTEST Requests a homogeneity of variance test
Compensate for Heterogeneous Variances
WELCH Requests the variance-weighted one-way ANOVA of Welch (1951)
4076 F Chapter 53: The GLM Procedure

The options available in the MEANS statement are described in the following list.

ALPHA=
ALPHA=p specifies the level of significance for comparisons among the means. By default, p is equal
to the value of the ALPHA= option in the PROC GLM statement or 0.05 if that option is not specified.
You can specify any value greater than 0 and less than 1.

BON
performs Bonferroni t tests of differences between means for all main-effect means in the MEANS
statement. See the CLDIFF and LINES options for a discussion of how the procedure displays results.

CLDIFF
presents results of the BON, GABRIEL, SCHEFFE, SIDAK, SMM, GT2, T, LSD, and TUKEY options
as confidence intervals for all pairwise differences between means, and the results of the DUNNETT,
DUNNETTU, and DUNNETTL options as confidence intervals for differences with the control. The
CLDIFF option is the default for unequal cell sizes unless the DUNCAN, REGWQ, SNK, or WALLER
option is specified.

CLM
presents results of the BON, GABRIEL, SCHEFFE, SIDAK, SMM, T, and LSD options as intervals
for the mean of each level of the variables specified in the MEANS statement. For all options except
GABRIEL, the intervals are confidence intervals for the true means. For the GABRIEL option, they
are comparison intervals for comparing means pairwise: in this case, if the intervals corresponding to
two means overlap, then the difference between them is insignificant according to Gabriel’s method.

DEPONLY
displays only means for the dependent variables. By default, PROC GLM produces means for all
continuous variables, including continuous independent variables.

DUNCAN
performs Duncan’s multiple range test on all main-effect means given in the MEANS statement. See
the LINES option for a discussion of how the procedure displays results.

DUNNETT < (formatted-control-values) >

performs Dunnett’s two-tailed t test, testing if any treatments are significantly different from a single
control for all main-effect means in the MEANS statement.
To specify which level of the effect is the control, enclose the formatted value in quotes and parentheses
after the keyword . If more than one effect is specified in the MEANS statement, you can use a list of
control values within the parentheses. By default, the first level of the effect is used as the control. For
example:

means A / dunnett('CONTROL');

where CONTROL is the formatted control value of A. As another example:

means A B C / dunnett('CNTLA' 'CNTLB' 'CNTLC');

where CNTLA, CNTLB, and CNTLC are the formatted control values for A, B, and C, respectively.
 MEANS Statement F 4077

DUNNETTL < (formatted-control-value) >

performs Dunnett’s one-tailed t test, testing if any treatment is significantly less than the control.
Control level information is specified as described for the DUNNETT option.

DUNNETTU < (formatted-control-value) >

performs Dunnett’s one-tailed t test, testing if any treatment is significantly greater than the control.
Control level information is specified as described for the DUNNETT option.

E=effect
specifies the error mean square used in the multiple comparisons. By default, PROC GLM uses the
overall residual or error mean square (MS). The effect specified with the E= option must be a term in
the model; otherwise, the procedure uses the residual MS.

ETYPE=n
specifies the type of mean square for the error effect. When you specify E=effect , you might need to
indicate which type (1, 2, 3, or 4) of MS is to be used. The n value must be one of the types specified
in or implied by the MODEL statement. The default MS type is the highest type used in the analysis.

GABRIEL
performs Gabriel’s multiple-comparison procedure on all main-effect means in the MEANS statement.
See the CLDIFF and LINES options for discussions of how the procedure displays results.

GT2
See the SMM option.

HOVTEST
HOVTEST=BARTLETT
HOVTEST=BF
HOVTEST=LEVENE < ( TYPE= ABS | SQUARE ) >
HOVTEST=OBRIEN < ( W=number ) >
requests a homogeneity of variance test for the groups defined by the MEANS effect. You can
optionally specify a particular test; if you do not specify a test, Levene’s test (Levene 1960) with
TYPE=SQUARE is computed. Note that this option is ignored unless your MODEL statement specifies
a simple one-way model.
The HOVTEST=BARTLETT option specifies Bartlett’s test (Bartlett 1937), a modification of the
normal-theory likelihood ratio test.
The HOVTEST=BF option specifies Brown and Forsythe’s variation of Levene’s test (Brown and
Forsythe 1974).
The HOVTEST=LEVENE option specifies Levene’s test (Levene 1960), which is widely considered to
be the standard homogeneity of variance test. You can use the TYPE= option in parentheses to specify
whether to use the absolute residuals (TYPE=ABS) or the squared residuals (TYPE=SQUARE) in
Levene’s test. TYPE=SQUARE is the default.
The HOVTEST=OBRIEN option specifies O’Brien’s test (O’Brien 1979), which is basically a mod-
ification of HOVTEST=LEVENE(TYPE=SQUARE). You can use the W= option in parentheses to
tune the variable to match the suspected kurtosis of the underlying distribution. By default, W=0.5, as
suggested by O’Brien (1979, 1981).
4078 F Chapter 53: The GLM Procedure

See the section “Homogeneity of Variance in One-Way Models” on page 4131 for more details on these
methods. Example 53.10 illustrates the use of the HOVTEST and WELCH options in the MEANS
statement in testing for equal group variances and adjusting for unequal group variances in a one-way
ANOVA.

HTYPE=n
specifies the MS type for the hypothesis MS. The HTYPE= option is needed only when the WALLER
option is specified. The default HTYPE= value is the highest type used in the model.

KRATIO=value
specifies the Type 1/Type 2 error seriousness ratio for the Waller-Duncan test. Reasonable values for
the KRATIO= option are 50, 100, 500, which roughly correspond for the two-level case to ALPHA
levels of 0.1, 0.05, and 0.01, respectively. By default, the procedure uses the value of 100.

LINES
presents results of the BON, DUNCAN, GABRIEL, REGWQ, SCHEFFE, SIDAK, SMM, GT2, SNK,
T, LSD, TUKEY, and WALLER options by listing the means in descending order and indicating
nonsignificant subsets by line segments beside the corresponding means. The LINES option is
appropriate for equal cell sizes, for which it is the default. The LINES option is also the default if
the DUNCAN, REGWQ, SNK, or WALLER option is specified, or if there are only two cells of
unequal size. The LINES option cannot be used in combination with the DUNNETT, DUNNETTL, or
DUNNETTU option.
If ODS Graphics is enabled then the LINES display is produced in graphical form by default. To
display it in tabular form, use the LINESTABLE option.
In addition, the procedure has a restriction that no more than 24 overlapping groups of means can
exist. If a mean belongs to more than 24 groups, the procedure issues an error message. You can either
reduce the number of levels of the variable or use a multiple comparison test that allows the CLDIFF
option rather than the LINES option.
N OTE : If the cell sizes are unequal, the harmonic mean of the cell sizes is used to compute the critical
ranges. This approach is reasonable if the cell sizes are not too different, but it can lead to liberal tests
if the cell sizes are highly disparate. In this case, you should not use the LINES option for displaying
multiple comparisons results; use the TUKEY and CLDIFF options instead.

LINESTABLE
requests that the results of the LINES option be presented as a table.

LSD
See the T option.

NOSORT
prevents the means from being sorted into descending order when the CLDIFF or CLM option is
specified.

REGWQ
performs the Ryan-Einot-Gabriel-Welsch multiple range test on all main-effect means in the MEANS
statement. See the LINES option for a discussion of how the procedure displays results.
 MEANS Statement F 4079

SCHEFFE
erforms Scheffé’s multiple-comparison procedure on all main-effect means in the MEANS statement.
See the CLDIFF and LINES options for discussions of how the procedure displays results.

SIDAK
performs pairwise t tests on differences between means with levels adjusted according to Sidak’s
inequality for all main-effect means in the MEANS statement. See the CLDIFF and LINES options for
discussions of how the procedure displays results.

SMM
GT2
performs pairwise comparisons based on the studentized maximum modulus and Sidak’s uncorrelated-t
inequality, yielding Hochberg’s GT2 method when sample sizes are unequal, for all main-effect means
in the MEANS statement. See the CLDIFF and LINES options for discussions of how the procedure
displays results.

SNK
performs the Student-Newman-Keuls multiple range test on all main-effect means in the MEANS
statement. See the LINES option for discussions of how the procedure displays results.

T
LSD
performs pairwise t tests, equivalent to Fisher’s least significant difference test in the case of equal cell
sizes, for all main-effect means in the MEANS statement. See the CLDIFF and LINES options for
discussions of how the procedure displays results.

TUKEY
performs Tukey’s studentized range test (HSD) on all main-effect means in the MEANS statement.
(When the group sizes are different, this is the Tukey-Kramer test.) See the CLDIFF and LINES
options for discussions of how the procedure displays results.

WALLER
performs the Waller-Duncan k-ratio t test on all main-effect means in the MEANS statement. See the
KRATIO= and HTYPE= options for information about controlling details of the test, and the LINES
option for a discussion of how the procedure displays results.

WELCH
requests the variance-weighted one-way ANOVA of Welch (1951). This alternative to the usual analysis
of variance for a one-way model is robust to the assumption of equal within-group variances. This
option is ignored unless your MODEL statement specifies a simple one-way model.
Note that using the WELCH option merely produces one additional table consisting of Welch’s
ANOVA. It does not affect all of the other tests displayed by the GLM procedure, which still require
the assumption of equal variance for exact validity.
See the section “Homogeneity of Variance in One-Way Models” on page 4131 for more details on
Welch’s ANOVA. Example 53.10 illustrates the use of the HOVTEST and WELCH options in the
MEANS statement in testing for equal group variances and adjusting for unequal group variances in a
one-way ANOVA.
4080 F Chapter 53: The GLM Procedure

MODEL Statement
MODEL dependent-variables = independent-effects < / options > ;

The MODEL statement names the dependent variables and independent effects. The syntax of effects is
described in the section “Specification of Effects” on page 4095. For any model effect involving classification
variables (interactions as well as main effects), the number of levels cannot exceed 32,767. If no independent
effects are specified, only an intercept term is fit. You can specify only one MODEL statement (in contrast to
the REG procedure, for example, which allows several MODEL statements in the same PROC REG run).
Table 53.9 summarizes the options available in the MODEL statement.

Table 53.9 MODEL Statement Options

Option Description
Produce Effect Size Information
EFFECTSIZE Adds measures of effect size to each analysis of variance table
Produce Tests for the Intercept
INTERCEPT Produces the hypothesis tests associated with the intercept
Omit the Intercept Parameter from Model
NOINT Omits the intercept parameter from the model
Produce Parameter Estimates
SOLUTION Produces parameter estimates
Produce Tolerance Analysis
TOLERANCE Displays the tolerances used in the SWEEP routine
Suppress Univariate Tests and Output
NOUNI Suppresses the display of univariate statistics
Display Estimable Functions
E Displays the general form of all estimable functions
E1 Displays the Type I estimable functions and computes sums of squares
E2 Displays the Type II estimable functions and computes sums of squares
E3 Displays the Type III estimable functions and computes sums of squares
E4 Displays the Type IV estimable functions computes sums of squares
ALIASING Specifies that the estimable functions should be displayed as an aliasing
structure
Control Hypothesis Tests Performed
SS1 Displays Type I sum of squares
SS2 Displays Type II sum of squares
SS3 Displays Type III sum of squares
SS4 Displays Type IV sum of squares
Produce Confidence Intervals
ALPHA= Specifies the level of significance
CLI Produces confidence limits for individual predicted values
CLM Produces confidence limits for a mean predicted value
CLPARM Produces confidence limits for the parameter estimates
 MODEL Statement F 4081

Table 53.9 continued

Option Description
Display Predicted and Residual Values
P Displays observed, predicted, and residual values
Display Intermediate Calculations
INVERSE Displays the augmented inverse (or generalized inverse) X0 X matrix
XPX Displays the augmented X0 X crossproducts matrix
Tune Sensitivity
SINGULAR= Tunes the sensitivity of the regression routine to linear dependencies
ZETA= Tunes the sensitivity of the check for estimability for Type III and Type IV
functions

The options available in the MODEL statement are described in the following list.

ALIASING
specifies that the estimable functions should be displayed as an aliasing structure, for which each row
says which linear combination of the parameters is estimated by each estimable function; also, this
option adds a column of the same information to the table of parameter estimates, giving for each
parameter the expected value of the estimate associated with that parameter. This option is most useful
in fractional factorial experiments that can be analyzed without a CLASS statement.

ALPHA=p
specifies the level of significance p for 100.1 p/% confidence intervals. By default, p is equal to the
value of the ALPHA= option in the PROC GLM statement, or 0.05 if that option is not specified. You
can use values between 0 and 1.

CLI
produces confidence limits for individual predicted values for each observation. The CLI option is
ignored if the CLM option is also specified.

CLM
produces confidence limits for a mean predicted value for each observation.

CLPARM
produces confidence limits for the parameter estimates (if the SOLUTION option is also specified) and
for the results of all ESTIMATE statements.

E
displays the general form of all estimable functions. This is useful for determining the order of
parameters when you are writing CONTRAST and ESTIMATE statements.

E1
displays the Type I estimable functions for each effect in the model and computes the corresponding
sums of squares.
4082 F Chapter 53: The GLM Procedure

E2
displays the Type II estimable functions for each effect in the model and computes the corresponding
sums of squares.

E3
displays the Type III estimable functions for each effect in the model and computes the corresponding
sums of squares.

E4
displays the Type IV estimable functions for each effect in the model and computes the corresponding
sums of squares.

EFFECTSIZE
adds measures of effect size to each analysis of variance table displayed by the procedure, except for
those displayed by the TEST option in the RANDOM statement, by CONTRAST and TEST statements
with the E= option, and by MANOVA and REPEATED statements. The effect size measures include
the intraclass correlation and both estimates and confidence intervals for the noncentrality for the
F test, as well as for the semipartial and partial correlation ratios. For more information about the
computation and interpretation of these measures, see the section “Effect Size Measures for F Tests in
GLM” on page 4108.

INTERCEPT
INT
produces the hypothesis tests associated with the intercept as an effect in the model. By default, the
procedure includes the intercept in the model but does not display associated tests of hypotheses.
Except for producing the uncorrected total sum of squares instead of the corrected total sum of squares,
the INT option is ignored when you use an ABSORB statement.

INVERSE
I
displays the augmented inverse (or generalized inverse) X0 X matrix:

.X0 X/ .X0 X/ X0 y
 

y0 X.X0 X/ y0 y y0 X.X0 X/ X0 y

The upper-left corner is the generalized inverse of X0 X, the upper-right corner is the parameter
estimates, and the lower-right corner is the error sum of squares.

NOINT
omits the intercept parameter from the model. The NOINT option is ignored when you use an ABSORB
statement.

NOUNI
suppresses the display of univariate statistics. You typically use the NOUNI option with a multivariate
or repeated measures analysis of variance when you do not need the standard univariate results.
The NOUNI option in a MODEL statement does not affect the univariate output produced by the
REPEATED statement.
 MODEL Statement F 4083

P
displays observed, predicted, and residual values for each observation that does not contain missing
values for independent variables. The Durbin-Watson statistic is also displayed when the P option is
specified. The PRESS statistic is also produced if either the CLM or CLI option is specified.

SINGULAR=number
tunes the sensitivity of the regression routine to linear dependencies in the design. If a diagonal pivot
element is less than C  number as PROC GLM sweeps the X0 X matrix, the associated design column
is declared to be linearly dependent with previous columns, and the associated parameter is zeroed.
The C value adjusts the check to the relative scale of the variable. The C value is equal to the corrected
sum of squares for the variable, unless the corrected sum of squares is 0, in which case C is 1. If you
specify the NOINT option but not the ABSORB statement, PROC GLM uses the uncorrected sum of
squares instead.
The default value of the SINGULAR= option, which is approximately 10 9 on most machines, might
be too small, but this value is necessary in order to handle the high-degree polynomials used in the
literature to compare regression routines.

SOLUTION
produces a solution to the normal equations (parameter estimates). PROC GLM displays a solution by
default when your model involves no classification variables, so you need this option only if you want
to see the solution for models with classification effects.

SS1
displays the sum of squares associated with Type I estimable functions for each effect. These are also
displayed by default.

SS2
displays the sum of squares associated with Type II estimable functions for each effect.

SS3
displays the sum of squares associated with Type III estimable functions for each effect. These are also
displayed by default.

SS4
displays the sum of squares associated with Type IV estimable functions for each effect.

TOLERANCE
displays the tolerances used in the SWEEP routine. The tolerances are of the form C/USS or C/CSS,
as described in the discussion of the SINGULAR= option. The tolerance value for the intercept is not
divided by its uncorrected sum of squares.

XPX
displays the augmented X0 X crossproducts matrix:
 0
X X X0 y


y0 X y0 y
4084 F Chapter 53: The GLM Procedure

ZETA=value
tunes the sensitivity of the check for estimability for Type III and Type IV functions. Any element
in the estimable function basis with an absolute value less than the ZETA= option is set to zero. The
default value for the ZETA= option is 10 8 .
Although it is possible to generate data for which this absolute check can be defeated, the check suffices
in most practical examples. Additional research is needed in order to make this check relative rather
than absolute.

OUTPUT Statement
OUTPUT < OUT=SAS-data-set > keyword=names < . . . keyword=names > < option > ;

The OUTPUT statement creates a new SAS data set that saves diagnostic measures calculated after fitting the
model. At least one specification of the form keyword=names is required.
All the variables in the original data set are included in the new data set, along with variables created in the
OUTPUT statement. These new variables contain the values of a variety of diagnostic measures that are
calculated for each observation in the data set. If you want to create a SAS data set in a permanent library,
you must specify a two-level name. For more information about permanent libraries and SAS data sets, see
SAS Programmers Guide: Essentials.
Details on the specifications in the OUTPUT statement follow.

keyword=names
specifies the statistics to include in the output data set and provides names to the new variables that
contain the statistics. Specify a keyword for each desired statistic (see the following list of keywords),
an equal sign, and the variable or variables to contain the statistic.
In the output data set, the first variable listed after a keyword in the OUTPUT statement contains that
statistic for the first dependent variable listed in the MODEL statement; the second variable contains
the statistic for the second dependent variable in the MODEL statement, and so on. The list of variables
following the equal sign can be shorter than the list of dependent variables in the MODEL statement.
In this case, the procedure creates the new names in order of the dependent variables in the MODEL
statement. See the section “Examples” on page 4086.
The keywords allowed and the statistics they represent are as follows:

COOKD
Cook’s D influence statistic

COVRATIO
standard influence of observation on covariance of parameter estimates

DFFITS
standard influence of observation on predicted value
 OUTPUT Statement F 4085

H
leverage, hi D xi .X0 X/ 1x0
i

LCL
lower bound of a 100(1 - p)% confidence interval for an individual prediction. The p-level is
equal to the value of the ALPHA= option in the OUTPUT statement or, if this option is not
specified, to the ALPHA= option in the PROC GLM statement. If neither of these options is set,
then p = 0.05 by default, resulting in the lower bound for a 95% confidence interval. The interval
also depends on the variance of the error, as well as the variance of the parameter estimates. For
the corresponding upper bound, see the UCL keyword.

LCLM
lower bound of a 100(1 - p)% confidence interval for the expected value (mean) of the predicted
value. The p-level is equal to the value of the ALPHA= option in the OUTPUT statement or, if
this option is not specified, to the ALPHA= option in the PROC GLM statement. If neither of
these options is set, then p = 0.05 by default, resulting in the lower bound for a 95% confidence
interval. For the corresponding upper bound, see the UCLM keyword.

PREDICTED | P
predicted values

PRESS
residual for the ith observation that results from dropping it and predicting it on the basis of all
other observations. This is the residual divided by .1 hi /, where hi is the leverage, defined
previously.

RESIDUAL | R
residuals, calculated as ACTUAL – PREDICTED

RSTUDENT
a studentized residual with the current observation deleted

STDI
standard error of the individual predicted value

STDP
standard error of the mean predicted value

STDR
standard error of the residual

STUDENT
studentized residuals, the residual divided by its standard error

UCL
upper bound of a 100(1 - p)% confidence interval for an individual prediction. The p-level is
equal to the value of the ALPHA= option in the OUTPUT statement or, if this option is not
specified, to the ALPHA= option in the PROC GLM statement. If neither of these options is set,
then p = 0.05 by default, resulting in the upper bound for a 95% confidence interval. The interval
also depends on the variance of the error, as well as the variance of the parameter estimates. For
the corresponding lower bound, see the LCL keyword.
4086 F Chapter 53: The GLM Procedure

UCLM
upper bound of a 100(1 - p)% confidence interval for the expected value (mean) of the predicted
value. The p-level is equal to the value of the ALPHA= option in the OUTPUT statement or, if
this option is not specified, to the ALPHA= option in the PROC GLM statement. If neither of
these options is set, then p = 0.05 by default, resulting in the upper bound for a 95% confidence
interval. For the corresponding lower bound, see the LCLM keyword.

OUT=SAS-data-set
gives the name of the new data set. By default, the procedure uses the DATAn convention to name the
new data set.
The following option is available in the OUTPUT statement and is specified after a slash (/):

ALPHA=p
specifies the level of significance p for 100.1 p/% confidence intervals. By default, p is equal to the
value of the ALPHA= option in the PROC GLM statement or 0.05 if that option is not specified. You
can use values between 0 and 1.
See Chapter 5, “Introduction to Regression Procedures,” and the section “Influence Statistics” on
page 8616 in Chapter 105, “The REG Procedure,” for details on the calculation of these statistics.

Examples
The following statements show the syntax for creating an output data set with a single dependent variable.

proc glm;
class a b;
model y=a b a*b;
output out=new p=yhat r=resid stdr=eresid;
run;
These statements create an output data set named new. In addition to all the variables from the original data
set, new contains the variable yhat, with values that are predicted values of the dependent variable y; the
variable resid, with values that are the residual values of y; and the variable eresid, with values that are the
standard errors of the residuals.
The following statements show a situation with five dependent variables.

proc glm;
by group;
class a;
model y1-y5=a x(a);
output out=pout predicted=py1-py5;
run;
The data set pout contains five new variables, py1 through py5. The values of py1 are the predicted values of
y1; the values of py2 are the predicted values of y2; and so on.

For more information about the data set produced by the OUTPUT statement, see the section “Output Data
Sets” on page 4152.
 RANDOM Statement F 4087

RANDOM Statement
RANDOM effects < / options > ;

When some model effects are random (that is, assumed to be sampled from a normal population of effects),
you can specify these effects in the RANDOM statement in order to compute the expected values of mean
squares for various model effects and contrasts and, optionally, to perform random effects analysis of variance
tests. You can use as many RANDOM statements as you want, provided that they appear after the MODEL
statement. If you use a CONTRAST statement with a RANDOM statement and you want to obtain the
expected mean squares for the contrast hypothesis, you must enter the CONTRAST statement before the
RANDOM statement.
N OTE : PROC GLM uses only the information pertaining to expected mean squares when you specify the
TEST option in the RANDOM statement and, even then, only in the extra F tests produced by the RANDOM
statement. Other features in the GLM procedure—including the results of the LSMEANS and ESTIMATE
statements—assume that all effects are fixed, so that all tests and estimability checks for these statements are
based on a fixed-effects model, even when you use a RANDOM statement. Therefore, you should use the
MIXED procedure to compute tests involving these features that take the random effects into account; see the
section “PROC GLM versus PROC MIXED for Random-Effects Analysis” on page 4145 and Chapter 84,
“The MIXED Procedure,” for more information.
When you use the RANDOM statement, by default the GLM procedure produces the Type III expected
mean squares for model effects and for contrasts specified before the RANDOM statement in the program
statements. In order to obtain expected values for other types of mean squares, you need to specify which
types of mean squares are of interest in the MODEL statement. See the section “Computing Type I, II, and
IV Expected Mean Squares” on page 4147 for more information.
The list of effects in the RANDOM statement should contain one or more of the pure classification effects
specified in the MODEL statement (that is, main effects, crossed effects, or nested effects involving only clas-
sification variables). The coefficients corresponding to each effect specified are assumed to be normally and
independently distributed with common variance. Levels in different effects are assumed to be independent.
You can specify the following options in the RANDOM statement after a slash (/):

Q
displays all quadratic forms in the fixed effects that appear in the expected mean squares. For some
designs, such as large mixed-level factorials, the Q option might generate a substantial amount of
output.

TEST
performs hypothesis tests for each effect specified in the model, using appropriate error terms as
determined by the expected mean squares.
C AUTION : PROC GLM does not automatically declare interactions to be random when the effects in
the interaction are declared random. For example,

random a b / test;

does not produce the same expected mean squares or tests as

4088 F Chapter 53: The GLM Procedure

random a b a*b / test;

To ensure correct tests, you need to list all random interactions and random main effects in the
RANDOM statement.
See the section “Random-Effects Analysis” on page 4145 for more information about the calculation of
expected mean squares and tests and on the similarities and differences between the GLM and MIXED
procedures. See Chapter 6, “Introduction to Analysis of Variance Procedures,” and Chapter 84, “The
MIXED Procedure,” for more information about random effects.

REPEATED Statement
REPEATED factor-specification < / options > ;

When values of the dependent variables in the MODEL statement represent repeated measurements on the
same experimental unit, the REPEATED statement enables you to test hypotheses about the measurement
factors (often called within-subject factors) as well as the interactions of within-subject factors with indepen-
dent variables in the MODEL statement (often called between-subject factors). The REPEATED statement
provides multivariate and univariate tests as well as hypothesis tests for a variety of single-degree-of-freedom
contrasts. There is no limit to the number of within-subject factors that can be specified.
The REPEATED statement is typically used for handling repeated measures designs with one repeated
response variable. Usually, the variables on the left-hand side of the equation in the MODEL statement
represent one repeated response variable. This does not mean that only one factor can be listed in the
REPEATED statement. For example, one repeated response variable (hemoglobin count) might be measured
12 times (implying variables Y1 to Y12 on the left-hand side of the equal sign in the MODEL statement),
with the associated within-subject factors treatment and time (implying two factors listed in the REPEATED
statement). See the section “Examples” on page 4092 for an example of how PROC GLM handles this case.
Designs with two or more repeated response variables can, however, be handled with the IDENTITY
transformation; see the description of this transformation in the following section, and see Example 53.9 for
an example of analyzing a doubly multivariate repeated measures design.
When a REPEATED statement appears, the GLM procedure enters a multivariate mode of handling missing
values. If any values for variables corresponding to each combination of the within-subject factors are
missing, the observation is excluded from the analysis.
If you use a CONTRAST or TEST statement with a REPEATED statement, you must enter the CONTRAST
or TEST statement before the REPEATED statement.
The simplest form of the REPEATED statement requires only a factor-name. With two repeated factors, you
must specify the factor-name and number of levels (levels) for each factor. Optionally, you can specify the
actual values for the levels (level-values), a transformation that defines single-degree-of-freedom contrasts,
and options for additional analyses and output. When you specify more than one within-subject factor, the
factor-names (and associated level and transformation information) must be separated by a comma in the
REPEATED statement.
These terms are described in the following section, “Syntax Details.”
 REPEATED Statement F 4089

Syntax Details
Table 53.10 summarizes the options available in the REPEATED statement.

Table 53.10 REPEATED Statement Options

Option Description
CANONICAL Performs a canonical analysis of the H and E matrices
HTYPE= Specifies the type of the H matrix used for analysis
MEAN Generates the overall arithmetic means of the within-subject variables
MSTAT= Specifies the method of evaluating the test statistics
NOM Displays only univariate analyses results
NOU Displays only multivariate analyses results
PRINTE Displays E and partial correlation matrices for multivariate tests, and prints
sphericity tests
PRINTH Displays the H matrices for multivariate tests
PRINTM Displays the transformation matrices that define tested contrasts
PRINTRV Displays characteristic roots and vectors for multivariate tests
SUMMARY Produces analysis-of-variance tables for univariate tests
UEPSDEF= Specifies the F test adjustment for univariate tests

You can specify the following terms in the REPEATED statement.

factor-specification

The factor-specification for the REPEATED statement can include any number of individual factor
specifications, separated by commas, of the following form:

factor-name levels < (level-values) > < transformation >

where

factor-name names a factor to be associated with the dependent variables. The name should not
be the same as any variable name that already exists in the data set being analyzed
and should conform to the usual conventions of SAS variable names.
When specifying more than one factor, list the dependent variables in the MODEL
statement so that the within-subject factors defined in the REPEATED statement
are nested; that is, the first factor defined in the REPEATED statement should be
the one with values that change least frequently.
levels gives the number of levels associated with the factor being defined. When there
is only one within-subject factor, the number of levels is equal to the number of
dependent variables. In this case, levels is optional. When more than one within-
subject factor is defined, however, levels is required, and the product of the number
of levels of all the factors must equal the number of dependent variables in the
MODEL statement.
(level-values) gives values that correspond to levels of a repeated-measures factor. These values
are used to label output and as spacings for constructing orthogonal polynomial
4090 F Chapter 53: The GLM Procedure

contrasts if you specify a POLYNOMIAL transformation. The number of values

specified must correspond to the number of levels for that factor in the REPEATED
statement. Enclose the level-values in parentheses.

The following transformation keywords define single-degree-of-freedom contrasts for factors specified
in the REPEATED statement. Since the number of contrasts generated is always one less than the
number of levels of the factor, you have some control over which contrast is omitted from the analysis
by which transformation you select. The only exception is the IDENTITY transformation; this
transformation is not composed of contrasts and has the same degrees of freedom as the factor has
levels. By default, the procedure uses the CONTRAST transformation.

CONTRAST< (ordinal-reference-level) >

generates contrasts between levels of the factor and a reference level. By default, the procedure
uses the last level as the reference level; you can optionally specify a reference level in parentheses
after the keyword CONTRAST. The reference level corresponds to the ordinal value of the level
rather than the level value specified. For example, to generate contrasts between the first level of
a factor and the other levels, use

contrast(1)

HELMERT
generates contrasts between each level of the factor and the mean of subsequent levels.

IDENTITY
generates an identity transformation corresponding to the associated factor. This transformation
is not composed of contrasts; it has n degrees of freedom for an n-level factor, instead of n – 1.
This can be used for doubly multivariate repeated measures.

MEAN< (ordinal-reference-level) >

generates contrasts between levels of the factor and the mean of all other levels of the factor.
Specifying a reference level eliminates the contrast between that level and the mean. Without a ref-
erence level, the contrast involving the last level is omitted. See the CONTRAST transformation
for an example.

POLYNOMIAL
generates orthogonal polynomial contrasts. Level values, if provided, are used as spacings in the
construction of the polynomials; otherwise, equal spacing is assumed.

PROFILE
generates contrasts between adjacent levels of the factor.

You can specify the following options in the REPEATED statement after a slash (/).

CANONICAL
performs a canonical analysis of the H and E matrices corresponding to the transformed variables
specified in the REPEATED statement.
 REPEATED Statement F 4091

HTYPE=n
specifies the type of the H matrix used in the multivariate tests and the type of sums of squares used
in the univariate tests. See the HTYPE= option in the specifications for the MANOVA statement for
further details.

MEAN
generates the overall arithmetic means of the within-subject variables.

MSTAT=FAPPROX | EXACT
specifies the method of evaluating the test statistics for the multivariate analysis. The default is
MSTAT=FAPPROX, which specifies that the multivariate tests are evaluated using the usual approx-
imations based on the F distribution, as discussed in the section “Multivariate Tests” in Chapter 5,
“Introduction to Regression Procedures.” Alternatively, you can specify MSTAT=EXACT to compute
exact p-values for three of the four tests (Wilks’ lambda, the Hotelling-Lawley trace, and Roy’s
greatest root) and an improved F approximation for the fourth (Pillai’s trace). While MSTAT=EXACT
provides better control of the significance probability for the tests, especially for Roy’s greatest root,
computations for the exact p-values can be appreciably more demanding, and are in fact infeasible for
large problems (many dependent variables). Thus, although MSTAT=EXACT is more accurate for
most data, it is not the default method. For more information about the results of MSTAT=EXACT, see
the section “Multivariate Analysis of Variance” on page 4135.

NOM
displays only the results of the univariate analyses.

NOU
displays only the results of the multivariate analyses.

PRINTE
displays the E matrix for each combination of within-subject factors, as well as partial correlation
matrices for both the original dependent variables and the variables defined by the transformations
specified in the REPEATED statement. In addition, the PRINTE option provides sphericity tests for
each set of transformed variables. If the requested transformations are not orthogonal, the PRINTE
option also provides a sphericity test for a set of orthogonal contrasts.

PRINTH
displays the H (SSCP) matrix associated with each multivariate test.

PRINTM
displays the transformation matrices that define the contrasts in the analysis. PROC GLM always
displays the M matrix so that the transformed variables are defined by the rows, not the columns, of
the displayed M matrix. In other words, PROC GLM actually displays M0 .

PRINTRV
displays the characteristic roots and vectors for each multivariate test.

SUMMARY
produces analysis-of-variance tables for each contrast defined by the within-subject factors. Along
with tests for the effects of the independent variables specified in the MODEL statement, a term labeled
MEAN tests the hypothesis that the overall mean of the contrast is zero.
4092 F Chapter 53: The GLM Procedure

UEPSDEF=unbiased-epsilon-definition
specifies the type of adjustment for the univariate F test that is displayed in addition to the Greenhouse-
Geisser adjustment. The default is UEPSDEF=HFL, corresponding to the corrected form of the Huynh-
Feldt adjustment (Huynh and Feldt 1976; Lecoutre 1991). Other alternatives are UEPSDEF=HF, the
uncorrected Huynh-Feldt adjustment (the only available method in previous releases of SAS/STAT
software), and UEPSDEF=CM, the adjustment of Chi et al. (2012). See the section “Hypothesis
Testing in Repeated Measures Analysis” on page 4139 for details about these adjustments.

Examples
When specifying more than one factor, list the dependent variables in the MODEL statement so that the
within-subject factors defined in the REPEATED statement are nested; that is, the first factor defined in the
REPEATED statement should be the one with values that change least frequently. For example, assume
that three treatments are administered at each of four times, for a total of twelve dependent variables on
each experimental unit. If the variables are listed in the MODEL statement as Y1 through Y12, then the
REPEATED statement in

proc glm;
class group;
model Y1-Y12=group / nouni;
repeated trt 3, time 4;
run;
implies the following structure:

Dependent Variables
Y1 Y2 Y3 Y4 Y5 Y6 Y7 Y8 Y9 Y10 Y11 Y12
Value of trt 1 1 1 1 2 2 2 2 3 3 3 3
Value of time 1 2 3 4 1 2 3 4 1 2 3 4

The REPEATED statement always produces a table like the preceding one. For more information, see the
section “Repeated Measures Analysis of Variance” on page 4137.

STORE Statement
STORE < OUT= >item-store-name < / LABEL='label' > ;

The STORE statement saves the context and results of the statistical analysis. The resulting item store has
a binary file format that cannot be modified. The contents of the item store can be processed using the
PLM procedure. For more information about the syntax of the STORE statement, see the section “STORE
Statement” on page 531 in Chapter 20, “Shared Concepts and Topics.”
 TEST Statement F 4093

TEST Statement
TEST H=effects E=effect < / options > ;

By default, for each sum of squares in the analysis an F value is computed that uses the residual MS as an
error term. Use a TEST statement to request additional F tests that use other effects as error terms. You need
a TEST statement when a nonstandard error structure (as in a split-plot design) exists. Note, however, that this
might not be appropriate if the design is unbalanced, since in most unbalanced designs with nonstandard error
structures, mean squares are not necessarily independent with equal expectations under the null hypothesis.
C AUTION : The GLM procedure does not check any of the assumptions underlying the F statistic. When
you specify a TEST statement, you assume sole responsibility for the validity of the F statistic produced. To
help validate a test, you can use the RANDOM statement and inspect the expected mean squares, or you can
use the TEST option of the RANDOM statement.
You can use as many TEST statements as you want, provided that they appear after the MODEL statement.
You can specify the following terms in the TEST statement.

H=effects
specifies which effects in the preceding model are to be used as hypothesis (numerator) effects. The
H= specification is required.

E=effect
specifies one, and only one, effect to use as the error (denominator) term. The E= specification is
required.

By default, the sum of squares type for all hypothesis sum of squares and error sum of squares is the highest
type computed in the model. If the hypothesis type or error type is to be another type that was computed in
the model, you should specify one or both of the following options after a slash (/).

ETYPE=n
specifies the type of sum of squares to use for the error term. The type must be a type computed in the
model (n=1, 2, 3, or 4 ).

HTYPE=n
specifies the type of sum of squares to use for the hypothesis. The type must be a type computed in the
model (n=1, 2, 3, or 4).
This example illustrates the TEST statement with a split-plot model:

proc glm;
class a b c;
model y=a b(a) c a*c b*c(a);
test h=a e=b(a)/ htype=1 etype=1;
test h=c a*c e=b*c(a) / htype=1 etype=1;
run;
4094 F Chapter 53: The GLM Procedure

WEIGHT Statement
WEIGHT variable ;

When a WEIGHT statement is used, a weighted residual sum of squares

X
wi .yi yOi /2
i

is minimized, where wi is the value of the variable specified in the WEIGHT statement, yi is the observed
value of the response variable, and yOi is the predicted value of the response variable.
If you specify the WEIGHT statement, it must appear before the first RUN statement or it is ignored.
An observation is used in the analysis only if the value of the WEIGHT statement variable is nonmissing and
greater than zero.
The WEIGHT statement has no effect on degrees of freedom or number of observations, but it is used by the
MEANS statement when calculating means and performing multiple comparison tests (as described in the
section “MEANS Statement” on page 4074).
The normal equations used when a WEIGHT statement is present are

X0 WXˇ D X0 WY

where W is a diagonal matrix consisting of the values of the variable specified in the WEIGHT statement.
If the weights for the observations are proportional to the reciprocals of the error variances, then the weighted
least squares estimates are best linear unbiased estimators (BLUE).

Details: GLM Procedure

Statistical Assumptions for Using PROC GLM

The basic statistical assumption underlying the least squares approach to general linear modeling is that the
observed values of each dependent variable can be written as the sum of two parts: a fixed component x 0 ˇ,
which is a linear function of the independent coefficients, and a random noise, or error, component :

y D x0ˇ C 

The independent coefficients x are constructed from the model effects as described in the section “Parameteri-
zation of PROC GLM Models” on page 4098. Further, the errors for different observations are assumed to be
uncorrelated with identical variances. Thus, this model can be written

E.Y / D Xˇ; Var.Y / D  2 I

where Y is the vector of dependent variable values, X is the matrix of independent coefficients, I is the
identity matrix, and  2 is the common variance for the errors. For multiple dependent variables, the model is
 Specification of Effects F 4095

similar except that the errors for different dependent variables within the same observation are not assumed
to be uncorrelated. This yields a multivariate linear model of the form
E.Y / D XB; Var.vec.Y // D † ˝ I
where Y and B are now matrices, with one column for each dependent variable, vec.Y / strings Y out by rows,
and ˝ indicates the Kronecker matrix product.
Under the assumptions thus far discussed, the least squares approach provides estimates of the linear
parameters that are unbiased and have minimum variance among linear estimators. Under the further
assumption that the errors have a normal (or Gaussian) distribution, the least squares estimates are the
maximum likelihood estimates and their distribution is known. All of the significance levels (“p values”)
and confidence limits calculated by the GLM procedure require this assumption of normality in order to be
exactly valid, although they are good approximations in many other cases.

Specification of Effects
Each term in a model, called an effect, is a variable or combination of variables. Effects are specified with a
special notation that uses variable names and operators. There are two kinds of variables: classification (or
CLASS) variables and continuous variables. There are two primary operators: crossing and nesting. A third
operator, the bar operator, is used to simplify effect specification.
In an analysis-of-variance model, independent variables must be variables that identify classification levels. In
the SAS System, these are called classification (or class) variables and are declared in the CLASS statement.
(They can also be called categorical, qualitative, discrete, or nominal variables.) Classification variables can
be either numeric or character. The values of a classification variable are called levels. For example, the
classification variable Sex has the levels “male” and “female.”
In a model, an independent variable that is not declared in the CLASS statement is assumed to be continuous.
Continuous variables, which must be numeric, are used for response variables and covariates. For example,
the heights and weights of subjects are continuous variables.

Types of Effects
There are seven different types of effects used in the GLM procedure. In the following list, assume that A, B,
C, D, and E are CLASS variables and that X1, X2, and Y are continuous variables:

 Regressor effects are specified by writing continuous variables by themselves: X1 X2.

 Polynomial effects are specified by joining two or more continuous variables with asterisks: X1*X1
X1*X2.

 Main effects are specified by writing CLASS variables by themselves: A B C.

 Crossed effects (interactions) are specified by joining classification variables with asterisks: A*B B*C
A*B*C.

 Nested effects are specified by following a main effect or crossed effect with a classification variable
or list of classification variables enclosed in parentheses. The main effect or crossed effect is nested
within the effects listed in parentheses: B(A) C(B*A) D*E(C*B*A). In this example, B(A) is read
“B nested within A.”
4096 F Chapter 53: The GLM Procedure

 Continuous-by-class effects are written by joining continuous variables and classification variables
with asterisks: X1*A.

 Continuous-nesting-class effects consist of continuous variables followed by a classification variable

interaction enclosed in parentheses: X1(A) X1*X2(A*B).

One example of the general form of an effect involving several variables is

X1*X2*A*B*C(D*E)

This example contains crossed continuous terms by crossed classification terms nested within more than
one classification variable. The continuous list comes first, followed by the crossed list, followed by the
nesting list in parentheses. Note that asterisks can appear within the nested list but not immediately before
the left parenthesis. For details on how the design matrix and parameters are defined with respect to the
effects specified in this section, see the section “Parameterization of PROC GLM Models” on page 4098.
The MODEL statement and several other statements use these effects. Some examples of MODEL statements
that use various kinds of effects are shown in the following table; a, b, and c represent classification variables,
and y, y1, y2, x, and z represent continuous variables.

Specification Type of Model

model y=x; Simple regression
model y=x z; Multiple regression
model y=x x*x; Polynomial regression
model y1 y2=x z; Multivariate regression
model y=a; One-way ANOVA
model y=a b c; Main-effects ANOVA
model y=a b a*b; Factorial ANOVA with interaction
model y=a b(a) c(b a); Nested ANOVA
model y1 y2=a b; Multivariate analysis of variance (MANOVA)
model y=a x; Analysis of covariance
model y=a x(a); Separate-slopes regression
model y=a x x*a; Homogeneity-of-slopes regression

The Bar Operator

You can shorten the specification of a large factorial model by using the bar operator. For example, two ways
of writing the model for a full three-way factorial model follow:

model Y = A B C A*B A*C B*C A*B*C;

model Y = A|B|C;
 Specification of Effects F 4097

When the bar (|) is used, the right and left sides become effects, and the cross of them becomes an effect.
Multiple bars are permitted. The expressions are expanded from left to right, using rules 2–4 given in Searle
(1971, p. 390).

 Multiple bars are evaluated from left to right. For instance, A|B|C is evaluated as follows:

A|B|C ! fA|Bg|C
! f A B A*B g | C
! A B A*B C A*C B*C A*B*C

 Crossed and nested groups of variables are combined. For example, A(B) | C(D) generates A*C(B D),
among other terms.

 Duplicate variables are removed. For example, A(C) | B(C) generates A*B(C C), among other terms,
and the extra C is removed.

 Effects are discarded if a variable occurs on both the crossed and nested parts of an effect. For instance,
A(B) | B(D E) generates A*B(B D E), but this effect is eliminated immediately.

You can also specify the maximum number of variables involved in any effect that results from bar evaluation
by specifying that maximum number, preceded by an @ sign, at the end of the bar effect. For example, the
specification A | B | C@2 would result in only those effects that contain 2 or fewer variables: in this case,
A B A*B C A*C and B*C.

More examples of using the bar and at operators follow:

A | C(B) is equivalent to A C(B) A*C(B)

A(B) | C(B) is equivalent to A(B) C(B) A*C(B)
A(B) | B(D E) is equivalent to A(B) B(D E)
A | B(A) | C is equivalent to A B(A) C A*C B*C(A)
A | B(A) | C@2 is equivalent to A B(A) C A*C
A | B | C | D@2 is equivalent to A B A*B C A*C B*C D A*D B*D C*D
A*B(C*D) is equivalent to A*B(C D)
4098 F Chapter 53: The GLM Procedure

Using PROC GLM Interactively

You can use the GLM procedure interactively. After you specify a model with a MODEL statement and run
PROC GLM with a RUN statement, you can execute a variety of statements without reinvoking PROC GLM.
The section “Syntax: GLM Procedure” on page 4043 describes which statements can be used interactively.
These interactive statements can be executed singly or in groups by following the single statement or group
of statements with a RUN statement. Note that the MODEL statement cannot be repeated; PROC GLM
allows only one MODEL statement.
If you use PROC GLM interactively, you can end the GLM procedure with a DATA step, another PROC step,
an ENDSAS statement, or a QUIT statement.
When you are using PROC GLM interactively, additional RUN statements do not end the procedure but tell
PROC GLM to execute additional statements.
When you specify a WHERE statement with PROC GLM, it should appear before the first RUN statement.
The WHERE statement enables you to select only certain observations for analysis without using a subsetting
DATA step. For example, where group ne 5 omits observations with GROUP=5 from the analysis. See
SAS DATA Step Statements: Reference for details on this statement.
When you specify a BY statement with PROC GLM, interactive processing is not possible; that is, once the
first RUN statement is encountered, processing proceeds for each BY group in the data set, and no further
statements are accepted by the procedure.
Interactivity is also disabled when there are different patterns of missing values among the dependent
variables. For details, see the section “Missing Values” on page 4148.

Parameterization of PROC GLM Models

The GLM procedure constructs a linear model according to the specifications in the MODEL statement. Each
effect generates one or more columns in a design matrix X. This section shows precisely how X is built.

Intercept
All models include a column of 1s by default to estimate an intercept parameter . You can use the NOINT
option to suppress the intercept.

Regression Effects
Regression effects (covariates) have the values of the variables copied into the design matrix directly.
Polynomial terms are multiplied out and then installed in X.
 Parameterization of PROC GLM Models F 4099

Main Effects
If a classification variable has m levels, PROC GLM generates m columns in the design matrix for its main
effect. Each column is an indicator variable for one of the levels of the classification variable. The default
order of the columns is the sort order of the values of their levels; this order can be controlled with the
ORDER= option in the PROC GLM statement, as shown in the following table.

Data Design Matrix

A B
A B  A1 A2 B1 B2 B3
1 1 1 1 0 1 0 0
1 2 1 1 0 0 1 0
1 3 1 1 0 0 0 1
2 1 1 0 1 1 0 0
2 2 1 0 1 0 1 0
2 3 1 0 1 0 0 1

There are more columns for these effects than there are degrees of freedom for them; in other words, PROC
GLM is using an over-parameterized model.

Crossed Effects
First, PROC GLM reorders the terms to correspond to the order of the variables in the CLASS statement;
thus, B*A becomes A*B if A precedes B in the CLASS statement. Then, PROC GLM generates columns
for all combinations of levels that occur in the data. The order of the columns is such that the rightmost
variables in the cross index faster than the leftmost variables. No columns are generated corresponding to
combinations of levels that do not occur in the data.

Data Design Matrix

A B A* B
A B  A1 A2 B1 B2 B3 A1B1 A1B2 A1B3 A2B1 A2B2 A2B3
1 1 1 1 0 1 0 0 1 0 0 0 0 0
1 2 1 1 0 0 1 0 0 1 0 0 0 0
1 3 1 1 0 0 0 1 0 0 1 0 0 0
2 1 1 0 1 1 0 0 0 0 0 1 0 0
2 2 1 0 1 0 1 0 0 0 0 0 1 0
2 3 1 0 1 0 0 1 0 0 0 0 0 1

In this matrix, main-effects columns are not linearly independent of crossed-effect columns; in fact, the
column space for the crossed effects contains the space of the main effect.
4100 F Chapter 53: The GLM Procedure

Nested Effects
Nested effects are generated in the same manner as crossed effects. Hence, the design columns generated by
the following statements are the same (but the ordering of the columns is different):

model y=a b(a); (B nested within A)

model y=a a*b; (omitted main effect for B)

The nesting operator in PROC GLM is more a notational convenience than an operation distinct from crossing.
Nested effects are characterized by the property that the nested variables never appear as main effects. The
order of the variables within nesting parentheses is made to correspond to the order of these variables in the
CLASS statement. The order of the columns is such that variables outside the parentheses index faster than
those inside the parentheses, and the rightmost nested variables index faster than the leftmost variables.

Data Design Matrix

A B(A)
A B  A1 A2 B1A1 B2A1 B3A1 B1A2 B2A2 B3A2
1 1 1 1 0 1 0 0 0 0 0
1 2 1 1 0 0 1 0 0 0 0
1 3 1 1 0 0 0 1 0 0 0
2 1 1 0 1 0 0 0 1 0 0
2 2 1 0 1 0 0 0 0 1 0
2 3 1 0 1 0 0 0 0 0 1

Continuous-Nesting-Class Effects
When a continuous variable nests with a classification variable, the design columns are constructed by
multiplying the continuous values into the design columns for the class effect.

Data Design Matrix

A X(A)
X A  A1 A2 X(A1) X(A2)
21 1 1 1 0 21 0
24 1 1 1 0 24 0
22 1 1 1 0 22 0
28 2 1 0 1 0 28
19 2 1 0 1 0 19
23 2 1 0 1 0 23

This model estimates a separate slope for X within each level of A.

 Parameterization of PROC GLM Models F 4101

Continuous-by-Class Effects
Continuous-by-class effects generate the same design columns as continuous-nesting-class effects. The
two models differ by the presence of the continuous variable as a regressor by itself, in addition to being a
contributor to X*A.

Data Design Matrix

A X*A
X A  X A1 A2 X*A1 X*A2
21 1 1 21 1 0 21 0
24 1 1 24 1 0 24 0
22 1 1 22 1 0 22 0
28 2 1 28 0 1 0 28
19 2 1 19 0 1 0 19
23 2 1 23 0 1 0 23

Continuous-by-class effects are used to test the homogeneity of slopes. If the continuous-by-class effect is
nonsignificant, the effect can be removed so that the response with respect to X is the same for all levels of
the classification variables.

General Effects
An example that combines all the effects is

X1*X2*A*B*C(D E)

The continuous list comes first, followed by the crossed list, followed by the nested list in parentheses.
The sequencing of parameters is important to learn if you use the CONTRAST or ESTIMATE statement to
compute or test some linear function of the parameter estimates.
Effects might be retitled by PROC GLM to correspond to ordering rules. For example, B*A(E D) might be
retitled A*B(D E) to satisfy the following:

 Classification variables that occur outside parentheses (crossed effects) are sorted in the order in which
they appear in the CLASS statement.
 Variables within parentheses (nested effects) are sorted in the order in which they appear in a CLASS
statement.

The sequencing of the parameters generated by an effect can be described by which variables have their
levels indexed faster:

 Variables in the crossed part index faster than variables in the nested list.
 Within a crossed or nested list, variables to the right index faster than variables to the left.

For example, suppose a model includes four effects—A, B, C, and D—each having two levels, 1 and 2. If the
CLASS statement is
4102 F Chapter 53: The GLM Procedure

class A B C D;
then the order of the parameters for the effect B*A(C D), which is retitled A*B(C D), is as follows.

A1 B1 C1 D1
A1 B2 C1 D1
A2 B1 C1 D1
A2 B2 C1 D1
A1 B1 C1 D2
A1 B2 C1 D2
A2 B1 C1 D2
A2 B2 C1 D2
A1 B1 C2 D1
A1 B2 C2 D1
A2 B1 C2 D1
A2 B2 C2 D1
A1 B1 C2 D2
A1 B2 C2 D2
A2 B1 C2 D2
A2 B2 C2 D2

Note that first the crossed effects B and A are sorted in the order in which they appear in the CLASS
statement so that A precedes B in the parameter list. Then, for each combination of the nested effects in turn,
combinations of A and B appear. The B effect changes fastest because it is rightmost in the (renamed) cross
list. Then A changes next fastest. The D effect changes next fastest, and C is the slowest since it is leftmost in
the nested list.
When numeric classification variables are used, their levels are sorted by their character format, which might
not correspond to their numeric sort sequence. Therefore, it is advisable to include a format for numeric
classification variables or to use the ORDER=INTERNAL option in the PROC GLM statement to ensure that
levels are sorted by their internal values.

Degrees of Freedom
For models with classification (categorical) effects, there are more design columns constructed than there
are degrees of freedom for the effect. Thus, there are linear dependencies among the columns. In this event,
the parameters are not jointly estimable; there is an infinite number of least squares solutions. The GLM
procedure uses a generalized g2 -inverse to obtain values for the estimates; see the section “Computational
Method” on page 4151 for more details. The solution values are not produced unless the SOLUTION option
is specified in the MODEL statement. The solution has the characteristic that estimates are zero whenever the
design column for that parameter is a linear combination of previous columns. (Strictly termed, the solution
values should not be called estimates, since the parameters might not be formally estimable.) With this full
parameterization, hypothesis tests are constructed to test linear functions of the parameters that are estimable.
Other procedures (such as the CATMOD procedure) reparameterize models to full rank by using certain re-
strictions on the parameters. PROC GLM does not reparameterize, making the hypotheses that are commonly
tested more understandable. See Goodnight (1978a) for additional reasons for not reparameterizing.
PROC GLM does not actually construct the entire design matrix X; rather, a row xi of XPis constructed for
each observation in the data set and used to accumulate the crossproduct matrix X0 X D i xi0 xi .
 Hypothesis Testing in PROC GLM F 4103

Hypothesis Testing in PROC GLM

See Chapter 16, “The Four Types of Estimable Functions,” for a complete discussion of the four standard
types of hypothesis tests.

Example
To illustrate the four types of tests and the principles upon which they are based, consider a two-way design
with interaction based on the following data:

B
1 2
1 23.5 28.7
23.7
A 2 8.9 5.6
8.9
3 10.3 13.6
12.5 14.6

Invoke PROC GLM and specify all the estimable functions options to examine what the GLM procedure can
test. The following statements produce the summary ANOVA table displayed in Figure 53.10.

data example;
input a b y @@;
datalines;
1 1 23.5 1 1 23.7 1 2 28.7 2 1 8.9 2 2 5.6
2 2 8.9 3 1 10.3 3 1 12.5 3 2 13.6 3 2 14.6
;

proc glm;
class a b;
model y=a b a*b / e e1 e2 e3 e4;
run;

Figure 53.10 Summary ANOVA Table from PROC GLM

The GLM Procedure

Dependent Variable: y

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 5 520.4760000 104.0952000 49.66 0.0011
Error 4 8.3850000 2.0962500
Corrected Total 9 528.8610000

R-Square Coeff Var Root MSE y Mean

0.984145 9.633022 1.447843 15.03000

The following sections show the general form of estimable functions and discuss the four standard tests, their
4104 F Chapter 53: The GLM Procedure

properties, and abbreviated output for the two-way crossed example.

Estimability
Figure 53.11 is the general form of estimable functions for the example. In order to be testable, a hypothesis
must be able to fit within the framework displayed here.

Figure 53.11 General Form of Estimable Functions

The GLM Procedure

General Form of Estimable

Functions
Effect Coefficients
Intercept L1
a 1 L2
a 2 L3
a 3 L1-L2-L3
b 1 L5
b 2 L1-L5
a*b 1 1 L7
a*b 1 2 L2-L7
a*b 2 1 L9
a*b 2 2 L3-L9
a*b 3 1 L5-L7-L9
a*b 3 2 L1-L2-L3-L5+L7+L9

If a hypothesis is estimable, the Ls in the preceding scheme can be set to values that match the hypothesis.
All the standard tests in PROC GLM can be shown in the preceding format, with some of the Ls zeroed and
some set to functions of other Ls.
The following sections show how many of the hypotheses can be tested by comparing the model sum-of-
squares regression from one model to a submodel. The notation used is

SS.B effectsjA effects/ D SS.B effects; A effects/ SS.A effects/

where SS(A effects) denotes the regression model sum of squares for the model consisting of A effects. This
notation is equivalent to the reduction notation defined by Searle (1971) and summarized in Chapter 16, “The
Four Types of Estimable Functions.”

Type I Tests
Type I sums of squares (SS), also called sequential sums of squares, are the incremental improvement in error
sums of squares as each effect is added to the model. They can be computed by fitting the model in steps and
recording the difference in error sum of squares at each step.

Source Type I SS
A SS.A j /
B SS.B j ; A/
AB SS.A  B j; A; B/
 Hypothesis Testing in PROC GLM F 4105

Type I sums of squares are displayed by default because they are easy to obtain and can be used in various
hand calculations to produce sum of squares values for a series of different models. Nelder (1994) and others
have argued that Type I and II sums are essentially the only appropriate ones for testing ANOVA effects;
however, see also the discussion of Nelder’s article, especially Rodriguez, Tobias, and Wolfinger (1995) and
Searle (1995).
The Type I hypotheses have these properties:

 Type I sum of squares for all effects add up to the model sum of squares. None of the other sum of
squares types have this property, except in special cases.

 Type I hypotheses can be derived from rows of the Forward-Dolittle transformation of X0 X (a transfor-
mation that reduces X0 X to an upper triangular matrix by row operations).

 Type I sum of squares are statistically independent of each other under the usual assumption that the
true residual errors are independent and identically normally distributed (see page 4094).

 Type I hypotheses depend on the order in which effects are specified in the MODEL statement.

 Type I hypotheses are uncontaminated by parameters corresponding to effects that precede the effect
being tested; however, the hypotheses usually involve parameters for effects following the tested effect
in the model. For example, in the model

Y=A B;

the Type I hypothesis for B does not involve A parameters, but the Type I hypothesis for A does involve
B parameters.

 Type I hypotheses are functions of the cell counts for unbalanced data; the hypotheses are not usually
the same hypotheses that are tested if the data are balanced.

 Type I sums of squares are useful for polynomial models where you want to know the contribution of a
term as though it had been made orthogonal to preceding effects. Thus, in polynomial models, Type I
sums of squares correspond to tests of the orthogonal polynomial effects.

The Type I estimable functions and associated tests for the example are shown in Figure 53.12.
4106 F Chapter 53: The GLM Procedure

Figure 53.12 Type I Estimable Functions and Tests

Type I Estimable Functions

Coefficients
Effect a b a*b
Intercept 0 0 0
a 1 L2 0 0
a 2 L3 0 0
a 3 -L2-L3 0 0
b 1 0.1667*L2-0.1667*L3 L5 0
b 2 -0.1667*L2+0.1667*L3 -L5 0
a*b 1 1 0.6667*L2 0.2857*L5 L7
a*b 1 2 0.3333*L2 -0.2857*L5 -L7
a*b 2 1 0.3333*L3 0.2857*L5 L9
a*b 2 2 0.6667*L3 -0.2857*L5 -L9
a*b 3 1 -0.5*L2-0.5*L3 0.4286*L5 -L7-L9
a*b 3 2 -0.5*L2-0.5*L3 -0.4286*L5 L7+L9

Source DF Type I SS Mean Square F Value Pr > F

a 2 494.0310000 247.0155000 117.84 0.0003
b 1 10.7142857 10.7142857 5.11 0.0866
a*b 2 15.7307143 7.8653571 3.75 0.1209

Type II Tests
The Type II tests can also be calculated by comparing the error sums of squares (SS) for subset models. The
Type II SS are the reduction in error SS due to adding the term after all other terms have been added to the
model except terms that contain the effect being tested. An effect is contained in another effect if it can be
derived by deleting variables from the latter effect. For example, A and B are both contained in A*B. For this
model, the Type II SS are given by the reduced sums of squares as shown in the following table.

Source Type II SS
A SS.A j ; B/
B SS.B j ; A/
AB SS.A  B j ; A; B/

Type II SS have these properties:

 Type II SS do not necessarily sum to the model SS.

 The hypothesis for an effect does not involve parameters of other effects except for containing effects
(which it must involve to be estimable).

 Type II SS are invariant to the ordering of effects in the model.

 For unbalanced designs, Type II hypotheses for effects that are contained in other effects are not usually
the same hypotheses that are tested if the data are balanced. The hypotheses are generally functions of
the cell counts.
 Hypothesis Testing in PROC GLM F 4107

The Type II estimable functions and associated tests for the example are shown in Figure 53.13.

Figure 53.13 Type II Estimable Functions and Tests

Type II Estimable Functions

Coefficients
Effect a b a*b
Intercept 0 0 0
a 1 L2 0 0
a 2 L3 0 0
a 3 -L2-L3 0 0
b 1 0 L5 0
b 2 0 -L5 0
a*b 1 1 0.619*L2+0.0476*L3 0.2857*L5 L7
a*b 1 2 0.381*L2-0.0476*L3 -0.2857*L5 -L7
a*b 2 1 -0.0476*L2+0.381*L3 0.2857*L5 L9
a*b 2 2 0.0476*L2+0.619*L3 -0.2857*L5 -L9
a*b 3 1 -0.5714*L2-0.4286*L3 0.4286*L5 -L7-L9
a*b 3 2 -0.4286*L2-0.5714*L3 -0.4286*L5 L7+L9

Source DF Type II SS Mean Square F Value Pr > F

a 2 499.1202857 249.5601429 119.05 0.0003
b 1 10.7142857 10.7142857 5.11 0.0866
a*b 2 15.7307143 7.8653571 3.75 0.1209

Type III and Type IV Tests

Type III and Type IV sums of squares (SS), sometimes referred to as partial sums of squares, are considered
by many to be the most desirable; see Searle (1987, Section 4.6). Using PROC GLM’s singular parameteriza-
tion, these SS cannot, in general, be computed by comparing model SS from different models. However,
they can sometimes be computed by reduction for methods that reparameterize to full rank, when such a
reparameterization effectively imposes Type III linear constraints on the parameters. In PROC GLM, they are
computed by constructing a hypothesis matrix L and then computing the SS associated with the hypothesis
Lˇ D 0. As long as there are no missing cells in the design, Type III and Type IV SS are the same.
These are properties of Type III and Type IV SS:

 The hypothesis for an effect does not involve parameters of other effects except for containing effects
(which it must involve to be estimable).

 The hypotheses to be tested are invariant to the ordering of effects in the model.

 The hypotheses are the same hypotheses that are tested if there are no missing cells. They are not
functions of cell counts.

 The SS do not generally add up to the model SS and, in some cases, can exceed the model SS.

The SS are constructed from the general form of estimable functions. Type III and Type IV tests are different
only if the design has missing cells. In this case, the Type III tests have an orthogonality property, while the
4108 F Chapter 53: The GLM Procedure

Type IV tests have a balancing property. These properties are discussed in Chapter 16, “The Four Types of
Estimable Functions.” For this example, since the data contain observations for all pairs of levels of A and B,
Type IV tests are identical to the Type III tests that are shown in Figure 53.14. (This combines tables from
several pages of output.)

Figure 53.14 Type III Estimable Functions and Tests

Type III Estimable Functions

Coefficients
Effect a b a*b
Intercept 0 0 0
a 1 L2 0 0
a 2 L3 0 0
a 3 -L2-L3 0 0
b 1 0 L5 0
b 2 0 -L5 0
a*b 1 1 0.5*L2 0.3333*L5 L7
a*b 1 2 0.5*L2 -0.3333*L5 -L7
a*b 2 1 0.5*L3 0.3333*L5 L9
a*b 2 2 0.5*L3 -0.3333*L5 -L9
a*b 3 1 -0.5*L2-0.5*L3 0.3333*L5 -L7-L9
a*b 3 2 -0.5*L2-0.5*L3 -0.3333*L5 L7+L9

Source DF Type III SS Mean Square F Value Pr > F

a 2 479.1078571 239.5539286 114.28 0.0003
b 1 9.4556250 9.4556250 4.51 0.1009
a*b 2 15.7307143 7.8653571 3.75 0.1209

Effect Size Measures for F Tests in GLM

A significant F test in a linear model indicates that the effect of the term or contrast being tested might
be real. The next thing you want to know is, How big is the effect? Various measures have been devised
to give answers to this question that are comparable over different experimental designs. If you specify
the EFFECTSIZE option in the MODEL statement, then GLM adds to each ANOVA table estimates and
confidence intervals for three different measures of effect size:

 the noncentrality parameter for the F test

 the proportion of total variation accounted for (also known as the semipartial correlation ratio or the
squared semipartial correlation)

 the proportion of partial variation accounted for (also known as the full partial correlation ratio or the
squared full partial correlation)

The adjectives “semipartial” and “full partial” might seem strange. They refer to how other effects are
“partialed out” of the dependent variable and the effect being tested. For “semipartial” statistics, all other
effects are partialed out of the effect in question, but not the dependent variable. This measures the (adjusted)
 Effect Size Measures for F Tests in GLM F 4109

effect as a proportion of the total variation in the dependent variable. On the other hand, for “full partial”
statistics, all other effects are partialed out of both the dependent variable and the effect in question. This
measures the (adjusted) effect as a proportion of only the dependent variation remaining after partialing, or in
other words the partial variation. Details about the computation and interpretation of these estimates and
confidence intervals are discussed in the remainder of this section.
The noncentrality parameter is directly related to the true distribution of the F statistic when the effect being
tested has a non-null effect. The uniformly minimum variance unbiased estimate for the noncentrality is

DF.DFE 2/FValue
NCUMVUE D DF
DFE

where FValue is the observed value of the F statistic for the test and DF and DFE are the numerator and
denominator degrees of freedom for the test, respectively. An alternative estimate that can be slightly biased
but has a somewhat lower expected mean square error is

DF.DFE 4/FValue DF.DFE 4/

NCminMSE D
DFE DFE 2

(See Perlman and Rasmussen (1975), cited in Johnson, Kotz, and Balakrishnan (1994).) A p  100% lower
confidence bound for the noncentrality is given by the value of NC for which probf(FValue,DF,DFE,NC) = p,
where probf() is the cumulative probability function for the non-central F distribution. This result can be
used to form a .1 ˛/  100% confidence interval for the noncentrality.
The partial proportion of variation accounted for by the effect being tested is easiest to define by its natural
sample estimate,

SS
O 2partial D
SS C SSE

where SSE is the sample error sum of squares. Note that O 2partial is actually sometimes denoted Rpartial
2
or
2
just R square, but in this context the R square notation is reserved for the O corresponding to the overall
model, which is just the familiar R square for the model. O 2partial is actually a biased estimate of the true
2partial ; an alternative that is approximately unbiased is given by

2 SS DF  MSE
!partial D
SS C .N DF/MSE

where MSE = SSE/DFE is the sample mean square for error and N is the number of observations. The true
2partial is related to the true noncentrality parameter NC by the formula

NC
2partial D
NC C N

This fact can be employed to transform a confidence interval for NC into one for 2partial . Note that some
authors (Steiger and Fouladi 1997; Fidler and Thompson 2001; Smithson 2003) have published slightly
different confidence intervals for 2partial , based on a slightly different formula for the relationship between
2partial and NC, apparently due to Cohen (1988). Cohen’s formula appears to be approximately correct for
4110 F Chapter 53: The GLM Procedure

random predictor values (Maxwell 2000), but the one given previously is correct if the predictor values are
assumed fixed, as is standard for the GLM procedure.
Finally, the proportion of total variation accounted for by the effect being tested is again easiest to define by
its natural sample estimate, which is known as the (semipartial) O 2 statistic,

SS
O 2 D
SStotal

where SStotal is the total sample (corrected) sum of squares, and SS is the observed sum of squares due to
the effect being tested. As with O 2partial , O 2 is actually a biased estimate of the true 2 ; an alternative that is
approximately unbiased is the (semipartial) ! 2 statistic

SS DF  MSE
!2 D
SStotal C MSE

where MSE = SSE/DFE is the sample mean square for error. Whereas 2partial depends only on the noncen-
trality for its associated F test, the presence of the total sum of squares in the previous formulas indicates that
2 depends on the noncentralities for all effects in the model. An exact confidence interval is not available,
but if you write the formula for O 2 as

SS
O 2 D
SS C .SStotal SS/

then a conservative confidence interval can be constructed as for 2partial , treating SStotal SS as the SSE
and N – DF – 1 as the DFE (Smithson 2004). This confidence interval is conservative in the sense that it
implies values of the true 2 that are smaller than they should be.
Estimates and confidence intervals for effect sizes require some care in interpretation. For example, while the
true proportions of total and partial variation accounted for are nonnegative quantities, their estimates might
be less than zero. Also, confidence intervals for effect sizes are not directly related to the corresponding
estimates. In particular, it is possible for the estimate to lie outside the confidence interval.
As for interpreting the actual values of effect size measures, the approximately unbiased ! 2 estimates are
usually preferred for point estimates. Some authors have proposed certain ranges as indicating “small,”
“medium,” and “large” effects (Cohen 1988), but general benchmarks like this depend on the nature of the
data and the typical signal-to-noise ratio; they should not be expected to apply across various disciplines. For
example, while an ! 2 value of 10% might be viewed as “large” for psychometric data, it can be a relatively
small effect for industrial experimentation. Whatever the standard, confidence intervals for true effect sizes
typically span more than one category, indicating that in small experiments, it can be difficult to make firm
statements about the size of effects.

Example
The data for this example are similar to data analyzed in Steiger and Fouladi (1997); Fidler and Thompson
(2001); Smithson (2003). Consider the following hypothetical design, testing 28 men and 28 women on
seven different tasks.
 Effect Size Measures for F Tests in GLM F 4111

data Test;
do Task = 1 to 7;
do Gender = 'M','F';
do i = 1 to 4;
input Response @@;
output;
end;
end;
end;
datalines;
7.1 2.8 3.9 3.7 6.5 6.5 6.5 6.6
7.1 5.5 4.8 2.6 3.6 5.4 5.6 4.5
7.2 4.6 4.9 4.6 3.3 5.4 2.8 1.5
5.6 6.2 5.4 6.5 5.6 2.7 3.8 2.3
2.2 5.4 5.6 8.4 1.2 2.0 4.3 4.6
9.1 4.5 7.6 4.9 4.3 7.7 6.5 7.7
4.5 3.8 5.9 6.1 1.7 2.5 4.3 2.7
;
This is a balanced two-way design with four replicates per cell. The following statements analyze this data.
Since this is a balanced design, you can use the SS1 option in the MODEL statement to display only the
Type I sums of squares.

proc glm data=Test;

class Gender Task;
model Response = Gender|Task / ss1;
run;
The analysis of variance results are shown in Figure 53.15.

Figure 53.15 Two-Way Analysis of Variance

The GLM Procedure

Dependent Variable: Response

Source DF Type I SS Mean Square F Value Pr > F

Gender 1 14.40285714 14.40285714 6.00 0.0185
Task 6 38.15964286 6.35994048 2.65 0.0285
Gender*Task 6 35.99964286 5.99994048 2.50 0.0369

You can see that the two main effects as well as their interaction are all significant. Suppose you want to
compare the main effect of Gender with the interaction between Gender and Task. The sums of squares
for the interaction are more than twice as large, but it’s not clear how experimental variability might affect
this. The following statements perform the same analysis as before, but add the EFFECTSIZE option to
the MODEL statement; also, with ALPHA=0.1 option displays 90% confidence intervals, ensuring that
inferences based on the p-values at the 0.05 levels will agree with the lower confidence limit.

proc glm data=Test;

class Gender Task;
model Response = Gender|Task / ss1 effectsize alpha=0.1;
run;
4112 F Chapter 53: The GLM Procedure

The Type I analysis of variance results with added effect size information are shown in Figure 53.16.

Figure 53.16 Two-Way Analysis of Variance with Effect Sizes

The GLM Procedure

Dependent Variable: Response

Noncentrality Parameter
Min Var 90%
Unbiased Low MSE Confidence
Source DF Type I SS Mean Square F Value Pr > F Estimate Estimate Limits
Gender 1 14.40285714 14.40285714 6.00 0.0185 4.72 4.48 0.521 17.1
Task 6 38.15964286 6.35994048 2.65 0.0285 9.14 8.69 0.870 27.3
Gender*Task 6 35.99964286 5.99994048 2.50 0.0369 8.29 7.87 0.463 25.9

Total Variation Accounted For Partial Variation Accounted For

90%
Semipartial Semipartial Conservative Partial Partial Confidence
Source Eta-Square Omega-Square 90% Confidence Limits Eta-Square Omega-Square Limits
Gender 0.0761 0.0626 0.0019 0.2030 0.1250 0.0820 0.0092 0.2342
Task 0.2015 0.1239 0.0000 0.2772 0.2746 0.1502 0.0153 0.3277
Gender*Task 0.1901 0.1126 0.0000 0.2639 0.2632 0.1385 0.0082 0.3160

The estimated effect sizes for Gender and the interaction all tell pretty much the same story: the effect of
the interaction is appreciably greater than the effect of Gender. However, the confidence intervals suggest
that this inference should be treated with some caution, since the lower confidence bound for the Gender
effect is greater than the lower confidence bound for the interaction in all three cases. Follow-up testing is
probably in order, using the estimated effect sizes in this preliminary study to design a large enough sample
to distinguish the sizes of the effects.

Absorption
Absorption is a computational technique used to reduce computing resource needs in certain cases. The
classic use of absorption occurs when a blocking factor with a large number of levels is a term in the model.
For example, the statements

proc glm;
absorb herd;
class a b;
model y=a b a*b;
run;
are equivalent to

proc glm;
class herd a b;
model y=herd a b a*b;
run;
The exception to the previous statements is that the Type II, Type III, or Type IV SS for HERD are not
computed when HERD is absorbed.
 Absorption F 4113

The algorithm for absorbing variables is similar to the one used by the NESTED procedure for computing
a nested analysis of variance. As each new row of ŒXjY  (corresponding to the nonabsorbed independent
effects and the dependent variables) is constructed, it is adjusted for the absorbed effects in a Type I fashion.
The efficiency of the absorption technique is due to the fact that this adjustment can be done in one pass of
the data and without solving any linear equations, assuming that the data have been sorted by the absorbed
variables.
Several effects can be absorbed at one time. For example, these statements

proc glm;
absorb herd cow;
class a b;
model y=a b a*b;
run;
are equivalent to

proc glm;
class herd cow a b;
model y=herd cow(herd) a b a*b;
run;
When you use absorption, the size of the X0 X matrix is a function only of the effects in the MODEL statement.
The effects being absorbed do not contribute to the size of the X0 X matrix.
For the preceding example, a and b can be absorbed:

proc glm;
absorb a b;
class herd cow;
model y=herd cow(herd);
run;
Although the sources of variation in the results are listed as

a b(a) herd cow(herd)

all types of estimable functions for herd and cow(herd) are free of a, b, and a*b parameters.
To illustrate the savings in computing by using the ABSORB statement, PROC GLM is run on generated
data with 1147 degrees of freedom in the model with the following statements.

data a;
do herd=1 to 40;
do cow=1 to 30;
do treatment=1 to 3;
do rep=1 to 2;
y = herd/5 + cow/10 + treatment + rannor(1);
output;
end;
end;
end;
end;
run;
4114 F Chapter 53: The GLM Procedure

proc glm data=a;

class herd cow treatment;
model y=herd cow(herd) treatment;
run;
This analysis would have required over 6 megabytes of memory for the X0 X matrix had PROC GLM solved
it directly. However, in the following statements, the GLM procedure needs only a 4  4 matrix for the
intercept and treatment because the other effects are absorbed.

proc glm data=a;

absorb herd cow;
class treatment;
model y = treatment;
run;
These statements produce the results shown in Figure 53.17.

Figure 53.17 Absorption of Effects

The GLM Procedure

Class Level Information

Class Levels Values
treatment 3 123

Number of Observations Read 7200

Number of Observations Used 7200

The GLM Procedure

Dependent Variable: y

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 1201 49465.40242 41.18685 41.57 <.0001
Error 5998 5942.23647 0.99070
Corrected Total 7199 55407.63889

R-Square Coeff Var Root MSE y Mean

0.892754 13.04236 0.995341 7.631598

Source DF Type I SS Mean Square F Value Pr > F

herd 39 38549.18655 988.44068 997.72 <.0001
cow(herd) 1160 6320.18141 5.44843 5.50 <.0001
treatment 2 4596.03446 2298.01723 2319.58 <.0001

Source DF Type III SS Mean Square F Value Pr > F

treatment 2 4596.034455 2298.017228 2319.58 <.0001
 Specification of ESTIMATE Expressions F 4115

Specification of ESTIMATE Expressions

Consider the model

E.Y / D ˇ0 C ˇ1 x1 C ˇ2 x2 C ˇ3 x3

The corresponding MODEL statement for PROC GLM is

model y=x1 x2 x3;

To estimate the difference between the parameters for x1 and x2 ,

ˇ1 ˇ2 D . 0 1 1 0 /ˇ; where ˇ D . ˇ0 ˇ1 ˇ2 ˇ3 /0

you can use the following ESTIMATE statement:

estimate 'B1-B2' x1 1 x2 -1;

To predict y at x1 D 1, x2 D 0, and x3 D 2, you can estimate

ˇ0 C ˇ1 2ˇ3 D . 1 1 0 2 /ˇ

with the following ESTIMATE statement:

estimate 'B0+B1-2B3' intercept 1 x1 1 x3 -2;

Now consider models involving classification variables such as

model y=A B A*B;

with the associated parameters:


 ˛1 ˛2 ˛3 ˇ1 ˇ2 11 12 21 22 31 32

The LS-mean for the first level of A is Lˇ, where

L D . 1 j 1 0 0 j 0:5 0:5 j 0:5 0:5 0 0 0 0 /

You can estimate this with the following ESTIMATE statement:

estimate 'LS-mean(A1)' intercept 1 A 1 B 0.5 0.5 A*B 0.5 0.5;

Note in this statement that only one element of L is specified following the A effect, even though A has three
levels. Whenever the list of constants following an effect name is shorter than the effect’s number of levels,
zeros are used as the remaining constants. (If the list of constants is longer than the number of levels for the
effect, the extra constants are ignored, and a warning message is displayed.)
To estimate the A linear effect in the preceding model, assuming equally spaced levels for A, you can use the
following L:

LD. 0 j 1 0 1 j 0 0 j 0:5 0:5 0 0 0:5 0:5 /

The ESTIMATE statement for this L is written as

4116 F Chapter 53: The GLM Procedure

estimate 'A Linear' A -1 0 1;

If you do not specify the elements of L for an effect that contains a specified effect, then the elements of the
specified effect are equally distributed over the corresponding levels of the higher-order effect. In addition, if
you specify the intercept in an ESTIMATE or CONTRAST statement, it is distributed over all classification
effects that are not contained by any other specified effect.
The distribution of lower-order coefficients to higher-order effect coefficients follows the same general rules
as in the LSMEANS statement, and it is similar to that used to construct Type IV tests. In the previous
example, the –1 associated with ˛1 is divided by the number n1j of 1j parameters; then each 1j coefficient
is set to 1=n1j . The 1 associated with ˛3 is distributed among the 3j parameters in a similar fashion. In
the event that an unspecified effect contains several specified effects, only that specified effect with the most
factors in common with the unspecified effect is used for distribution of coefficients to the higher-order effect.
Numerous syntactical expressions for the ESTIMATE statement were considered, including many that
involved specifying the effect and level information associated with each coefficient. For models involving
higher-level effects, the requirement of specifying level information can lead to very bulky specifications.
Consequently, the simpler form of the ESTIMATE statement described earlier was implemented.
The syntax of this ESTIMATE statement puts a burden on you to know a priori the order of the parameter list
associated with each effect. You can use the ORDER= option in the PROC GLM statement to ensure that the
levels of the classification effects are sorted appropriately.
N OTE : If you use the ESTIMATE statement with unspecified effects, use the E option to make sure that the
actual L constructed by the preceding rules is the one you intended.

A Check for Estimability

Each L is checked for estimability using the relationship L D LH, where H D .X0 X/ X0 X. The L vector is
declared nonestimable, if for any i
(
 if Li D 0 or
ABS.Li .LH/i / >
  ABS.Li / otherwise

where  D 10 4 by default; you can change this with the SINGULAR= option. Continued fractions (like
1/3) should be specified to at least six decimal places, or the DIVISOR parameter should be used.

Comparing Groups
An important task in analyzing data with classification effects is to estimate the typical response for each level
of a given effect; often, you also want to compare these estimates to determine which levels are equivalent
in terms of the response. You can perform this task in two ways with the GLM procedure: with direct,
arithmetic group means; and with so-called least squares means (LS-means).
 Comparing Groups F 4117

Means versus LS-Means

Computing and comparing arithmetic means—either simple or weighted within-group averages of the input
data—is a familiar and well-studied statistical process. This is the right approach to summarizing and
comparing groups for one-way and balanced designs. However, in unbalanced designs with more than one
effect, the arithmetic mean for a group might not accurately reflect the “typical” response for that group,
since it does not take other effects into account.
For example, the following analysis of an unbalanced two-way design produces the ANOVA, means, and
LS-means shown in Figure 53.18, Figure 53.19, and Figure 53.20.

data twoway;
input Treatment Block y @@;
datalines;
1 1 17 1 1 28 1 1 19 1 1 21 1 1 19
1 2 43 1 2 30 1 2 39 1 2 44 1 2 44
1 3 16
2 1 21 2 1 21 2 1 24 2 1 25
2 2 39 2 2 45 2 2 42 2 2 47
2 3 19 2 3 22 2 3 16
3 1 22 3 1 30 3 1 33 3 1 31
3 2 46
3 3 26 3 3 31 3 3 26 3 3 33 3 3 29 3 3 25
;

title "Unbalanced Two-way Design";

ods select ModelANOVA Means LSMeans;

proc glm data=twoway;

class Treatment Block;
model y = Treatment|Block;
means Treatment;
lsmeans Treatment;
run;

ods select all;

Figure 53.18 ANOVA Results for Unbalanced Two-Way Design

Unbalanced Two-way Design

The GLM Procedure

Dependent Variable: y

Source DF Type I SS Mean Square F Value Pr > F

Treatment 2 8.060606 4.030303 0.24 0.7888
Block 2 2621.864124 1310.932062 77.95 <.0001
Treatment*Block 4 32.684361 8.171090 0.49 0.7460

Source DF Type III SS Mean Square F Value Pr > F

Treatment 2 266.130682 133.065341 7.91 0.0023
Block 2 1883.729465 941.864732 56.00 <.0001
Treatment*Block 4 32.684361 8.171090 0.49 0.7460
4118 F Chapter 53: The GLM Procedure

Figure 53.19 Treatment Means for Unbalanced Two-Way Design

Unbalanced Two-way Design

The GLM Procedure

y
Level of
Treatment N Mean Std Dev
1 11 29.0909091 11.5104695
2 11 29.1818182 11.5569735
3 11 30.1818182 6.3058414

Figure 53.20 Treatment LS-means for Unbalanced Two-Way Design

Unbalanced Two-way Design

The GLM Procedure

Least Squares Means

Treatment y LSMEAN
1 25.6000000
2 28.3333333
3 34.4444444

No matter how you look at them, these data exhibit a strong effect due to the blocks (F test p < 0:0001) and
no significant interaction between treatments and blocks (F test p > 0:7). But the lack of balance affects how
the treatment effect is interpreted: in a main-effects-only model, there are no significant differences between
the treatment means themselves (Type I F test p > 0:7), but there are highly significant differences between
the treatment means corrected for the block effects (Type III F test p < 0:01).
LS-means are, in effect, within-group means appropriately adjusted for the other effects in the model. More
precisely, they estimate the marginal means for a balanced population (as opposed to the unbalanced design).
For this reason, they are also called estimated population marginal means by Searle, Speed, and Milliken
(1980). In the same way that the Type I F test assesses differences between the arithmetic treatment means
(when the treatment effect comes first in the model), the Type III F test assesses differences between the
LS-means. Accordingly, for the unbalanced two-way design, the discrepancy between the Type I and Type
III tests is reflected in the arithmetic treatment means and treatment LS-means, as shown in Figure 53.19 and
Figure 53.20. See the section “Construction of Least Squares Means” on page 4132 for more on LS-means.
Note that, while the arithmetic means are always uncorrelated (under the usual assumptions for analysis
of variance; see page 4094), the LS-means might not be. This fact complicates the problem of multiple
comparisons for LS-means; see the following section.
 Comparing Groups F 4119

Multiple Comparisons
When comparing more than two means, an ANOVA F test tells you whether the means are significantly
different from each other, but it does not tell you which means differ from which other means. Multiple-
comparison procedures (MCPs), also called mean separation tests, give you more detailed information about
the differences among the means. The goal in multiple comparisons is to compare the average effects of
three or more “treatments” (for example, drugs, groups of subjects) to decide which treatments are better,
which ones are worse, and by how much, while controlling the probability of making an incorrect decision.
A variety of multiple-comparison methods are available with the MEANS and LSMEANS statement in the
GLM procedure.
The following classification is due to Hsu (1996). Multiple-comparison procedures can be categorized in two
ways: by the comparisons they make and by the strength of inference they provide. With respect to which
comparisons are made, the GLM procedure offers two types:

 comparisons between all pairs of means

 comparisons between a control and all other means

The strength of inference says what can be inferred about the structure of the means when a test is significant;
it is related to what type of error rate the MCP controls. MCPs available in the GLM procedure provide one
of the following types of inference, in order from weakest to strongest:

 Individual: differences between means, unadjusted for multiplicity

 Inhomogeneity: means are different

 Inequalities: which means are different

 Intervals: simultaneous confidence intervals for mean differences

Methods that control only individual error rates are not true MCPs at all. Methods that yield the strongest
level of inference, simultaneous confidence intervals, are usually preferred, since they enable you not only to
say which means are different but also to put confidence bounds on how much they differ, making it easier to
assess the practical significance of a difference. They are also less likely to lead nonstatisticians to the invalid
conclusion that nonsignificantly different sample means imply equal population means. Interval MCPs are
available for both arithmetic means and LS-means via the MEANS and LSMEANS statements, respectively.1
Table 53.12 and Table 53.13 display MCPs available in PROC GLM for all pairwise comparisons and
comparisons with a control, respectively, along with associated strength of inference and the syntax (when
applicable) for both the MEANS and the LSMEANS statements.

1 The Duncan-Waller method does not fit into the preceding scheme, since it is based on the Bayes risk rather than any particular

error rate.
4120 F Chapter 53: The GLM Procedure

Table 53.12 Multiple-Comparison Procedures for All Pairwise Comparisons

Strength of Syntax
Method Inference MEANS LSMEANS
Student’s t Individual T PDIFF ADJUST=T
Duncan Individual DUNCAN
Student-Newman-Keuls Inhomogeneity SNK
REGWQ Inequalities REGWQ
Tukey-Kramer Intervals TUKEY PDIFF ADJUST=TUKEY
Bonferroni Intervals BON PDIFF ADJUST=BON
Sidak Intervals SIDAK PDIFF ADJUST=SIDAK
Scheffé Intervals SCHEFFE PDIFF ADJUST=SCHEFFE
SMM Intervals SMM PDIFF ADJUST=SMM
Gabriel Intervals GABRIEL
Simulation Intervals PDIFF ADJUST=SIMULATE

Table 53.13 Multiple-Comparison Procedures for Comparisons with a Control

Strength of Syntax
Method Inference MEANS LSMEANS
Student’s t Individual PDIFF=CONTROL ADJUST=T
Dunnett Intervals DUNNETT PDIFF=CONTROL ADJUST=DUNNETT
Bonferroni Intervals PDIFF=CONTROL ADJUST=BON
Sidak Intervals PDIFF=CONTROL ADJUST=SIDAK
Scheffé Intervals PDIFF=CONTROL ADJUST=SCHEFFE
SMM Intervals PDIFF=CONTROL ADJUST=SMM
Simulation Intervals PDIFF=CONTROL ADJUST=SIMULATE

N OTE : One-sided Dunnett’s tests are also available from the MEANS statement with the DUN-
NETTL and DUNNETTU options and from the LSMEANS statement with PDIFF=CONTROLL and
PDIFF=CONTROLU.
A note concerning the ODS tables for the results of the PDIFF or TDIFF options in the LSMEANS statement:
The p/t-values for differences are displayed in columns of the LSMeans table for PDIFF/TDIFF=CONTROL
or PDIFF/TDIFF=ANOM, and for PDIFF/TDIFF=ALL when there are only two LS-means. Otherwise (for
PDIFF/TDIFF=ALL when there are more than two LS-means), the p/t-values for differences are displayed in
a separate table called Diff.
Details of these multiple comparison methods are given in the following sections.

Pairwise Comparisons
All the methods discussed in this section depend on the standardized pairwise differences tij D .yNi yNj /=O ij ,
where the parts of this expression are defined as follows:

 i and j are the indices of two groups

 Comparing Groups F 4121

 yNi and yNj are the means or LS-means for groups i and j

 O ij is the square root of the estimated variance of yNi yNj . For simple arithmetic means, O ij2 D
s 2 .1=ni C 1=nj /, where ni and nj are the sizes of groups i and j, respectively, and s 2 is the mean
square for error, with  degrees of freedom. For weighted arithmetic means, O ij2 D s 2 .1=wi C 1=wj /,
where wi and wj are the sums of the weights in groups i and j, respectively. Finally, for LS-means
defined by the linear combinations l0i b and l0j b of the parameter estimates, O ij2 D s 2 l0i .X0 X/ lj .

Furthermore, all of the methods are discussed in terms of significance tests of the form

jtij j  c.˛/

where c.˛/ is some constant depending on the significance level. Such tests can be inverted to form confidence
intervals of the form

.yNi yNj / O ij c.˛/  i j  .yNi yNj / C O ij c.˛/

The simplest approach to multiple comparisons is to do a t test on every pair of means (the T option in the
MEANS statement, ADJUST=T in the LSMEANS statement). For the ith and jth means, you can reject the
null hypothesis that the population means are equal if

jtij j  t .˛I /

where ˛ is the significance level,  is the number of error degrees of freedom, and t .˛I / is the two-tailed
critical value from a Student’s t distribution. If the cell sizes are all equal to, say, n, the preceding formula
can be rearranged to give
r
2
jyNi yNj j  t .˛I /s
n

the value of the right-hand side being Fisher’s least significant difference (LSD).
There is a problem with repeated t tests, however. Suppose there are 10 means and each t test is performed
at the 0.05 level. There are 10.10 1/=2 D 45 pairs of means to compare, each with a 0.05 probability
of a type 1 error (a false rejection of the null hypothesis). The chance of making at least one type 1 error
is much higher than 0.05. It is difficult to calculate the exact probability, but you can derive a pessimistic
approximation by assuming that the comparisons are independent, giving an upper bound to the probability
of making at least one type 1 error (the experimentwise error rate) of

1 .1 0:05/45 D 0:90

The actual probability is somewhat less than 0.90, but as the number of means increases, the chance of
making at least one type 1 error approaches 1.
If you decide to control the individual type 1 error rates for each comparison, you are controlling the
individual or comparisonwise error rate. On the other hand, if you want to control the overall type 1 error rate
for all the comparisons, you are controlling the experimentwise error rate. It is up to you to decide whether to
control the comparisonwise error rate or the experimentwise error rate, but there are many situations in which
4122 F Chapter 53: The GLM Procedure

the experimentwise error rate should be held to a small value. Statistical methods for comparing three or more
means while controlling the probability of making at least one type 1 error are called multiple-comparison
procedures.
It has been suggested that the experimentwise error rate can be held to the ˛ level by performing the overall
ANOVA F test at the ˛ level and making further comparisons only if the F test is significant, as in Fisher’s
protected LSD. This assertion is false if there are more than three means (Einot and Gabriel 1975). Consider
again the situation with 10 means. Suppose that one population mean differs from the others by such a
sufficiently large amount that the power (probability of correctly rejecting the null hypothesis) of the F test
is near 1 but that all the other population means are equal to each other. There will be 9.9 1/=2 D 36 t
tests of true null hypotheses, with an upper limit of 0.84 on the probability of at least one type 1 error. Thus,
you must distinguish between the experimentwise error rate under the complete null hypothesis, in which all
population means are equal, and the experimentwise error rate under a partial null hypothesis, in which some
means are equal but others differ. The following abbreviations are used in the discussion:

CER comparisonwise error rate

EERC experimentwise error rate under the complete null hypothesis
MEER maximum experimentwise error rate under any complete or partial null hypothesis

These error rates are associated with the different strengths of inference discussed on page 4119: individual
tests control the CER; tests for inhomogeneity of means control the EERC; tests that yield confidence
inequalities or confidence intervals control the MEER. A preliminary F test controls the EERC but not the
MEER.
You can control the MEER at the ˛ level by setting the CER to a sufficiently small value. The Bonferroni
inequality (Miller 1981) has been widely used for this purpose. If

˛
CER D
c

where c is the total number of comparisons, then the MEER is less than ˛. Bonferroni t tests (the BON option
in the MEANS statement, ADJUST=BON in the LSMEANS statement) with MEER < ˛ declare two means
to be significantly different if

jtij j  t .I /

where

2˛
 D
k.k 1/

for comparison of k means.

Šidák (1967) has provided a tighter bound, showing that

CER D 1 .1 ˛/1=c
 Comparing Groups F 4123

also ensures that MEER  ˛ for any set of c comparisons. A Sidak t test (Games 1977), provided by the
SIDAK option, is thus given by

jtij j  t .I /

where
2
 D 1 .1 ˛/ k.k 1/

for comparison of k means.

You can use the Bonferroni additive inequality and the Sidak multiplicative inequality to control the MEER
for any set of contrasts or other hypothesis tests, not just pairwise comparisons. The Bonferroni inequality
can provide simultaneous inferences in any statistical application requiring tests of more than one hypothesis.
Other methods discussed in this section for pairwise comparisons can also be adapted for general contrasts
(Miller 1981).
Scheffé (1953, 1959) proposes another method to control the MEER for any set of contrasts or other linear
hypotheses in the analysis of linear models, including pairwise comparisons, obtained with the SCHEFFE
option. Two means are declared significantly different if
p
jtij j  DF
F .˛I DF; /

where F .˛I DF; / is the ˛-level critical value of an F distribution with DF numerator degrees of freedom and
 denominator degrees of freedom. The value of DF is k – 1 for the MEANS statement, but in other statements
the precise definition depends on context. For the LSMEANS statement, DF is the rank of the contrast matrix
L for LS-means differences. In more general contexts—for example, the ESTIMATE or LSMESTIMATE
statements in PROC GLIMMIX—DF is the rank of the contrast covariance matrix LCov.b/L0 .
Scheffé’s test is compatible with the overall ANOVA F test in that Scheffé’s method never declares a contrast
significant if the overall F test is nonsignificant. Most other multiple-comparison methods can find significant
contrasts when the overall F test is nonsignificant and, therefore, suffer a loss of power when used with a
preliminary F test.
Scheffé’s method might be more powerful than the Bonferroni or Sidak method if the number of comparisons
is large relative to the number of means. For pairwise comparisons, Sidak t tests are generally more powerful.
Tukey (1952, 1953) proposes a test designed specifically for pairwise comparisons based on the studentized
range, sometimes called the “honestly significant difference test,” that controls the MEER when the sample
sizes are equal. Tukey (1953) and Kramer (1956) independently propose a modification for unequal cell sizes.
The Tukey or Tukey-Kramer method is provided by the TUKEY option in the MEANS statement and the
ADJUST=TUKEY option in the LSMEANS statement. This method has fared extremely well in Monte Carlo
studies (Dunnett 1980). In addition, Hayter (1984) gives a proof that the Tukey-Kramer procedure controls
the MEER for means comparisons, and Hayter (1989) describes the extent to which the Tukey-Kramer
procedure has been proven to control the MEER for LS-means comparisons. The Tukey-Kramer method
is more powerful than the Bonferroni, Sidak, or Scheffé method for pairwise comparisons. Two means are
considered significantly different by the Tukey-Kramer criterion if
p
jtij j  q.˛I k; /= 2
4124 F Chapter 53: The GLM Procedure

where q.˛I k; / is the ˛-level critical value of a studentized range distribution of k independent normal
random variables with  degrees of freedom.
Hochberg (1974) devised a method (the GT2 or SMM option) similar to Tukey’s, but it uses the studentized
maximum modulus instead of the studentized range and employs the uncorrelated t inequality of Šidák (1967).
It is proven to hold the MEER at a level not exceeding ˛ with unequal sample sizes. It is generally less
powerful than the Tukey-Kramer method and always less powerful than Tukey’s test for equal cell sizes. Two
means are declared significantly different if

jtij j  m.˛I c; /

where m.˛I c; / is the ˛-level critical value of the studentized maximum modulus distribution of c indepen-
dent normal random variables with  degrees of freedom and c D k.k 1/=2.
Gabriel (1978) proposes another method (the GABRIEL option) based on the studentized maximum modulus.
This method is applicable only to arithmetic means. It rejects if

jyNi yNj j
   m.˛I k; /
s p1 C p1
2ni 2nj

For equal cell sizes, Gabriel’s test is equivalent to Hochberg’s GT2 method. For unequal cell sizes, Gabriel’s
method is more powerful than GT2 but might become liberal with highly disparate cell sizes (see also
Dunnett (1980)). Gabriel’s test is the only method for unequal sample sizes that lends itself to a graphical
representation as intervals around the means. Assuming yNi > yNj , you can rewrite the preceding inequality as

s s
yNi m.˛I k; / p  yNj C m.˛I k; / p
2ni 2nj

The expression on the left does not depend on j, nor does the expression on the right depend on i. Hence,
you can form what Gabriel calls an .l; u/-interval around each sample mean and declare two means to be
significantly different if their .l; u/-intervals do not overlap. See Hsu (1996, section 5.2.1.1) for a discussion
of other methods of graphically representing all pairwise comparisons.

Comparing All Treatments to a Control

One special case of means comparison is that in which the only comparisons that need to be tested are
between a set of new treatments and a single control. In this case, you can achieve better power by using a
method that is restricted to test only comparisons to the single control mean. Dunnett (1955) proposes a test
for this situation that declares a mean significantly different from the control if

jti 0 j  d.˛I k; ; 1 ; : : : ; k 1/

where yN0 is the control mean and d.˛I k; ; 1 ; : : : ; k 1 / is the critical value of the “many-to-one t statistic”
(Miller 1981; Krishnaiah and Armitage 1966) for k means to be compared to a control, with  error degrees
of freedom and correlations 1 ; : : : ; k 1 , i D ni =.n0 C ni /. The correlation terms arise because each of
the treatment means is being compared to the same control. Dunnett’s test holds the MEER to a level not
exceeding the stated ˛.
 Comparing Groups F 4125

Analysis of Means: Comparing Each Treatments to the Average

Analysis of means (ANOM) refers to a technique for comparing group means and displaying the comparisons
graphically so that you can easily see which ones are different. Means are judged as different if they are
significantly different from the overall average, with significance adjusted for multiplicity. The overall
average is computed as a weighted mean of the LS-means, the weights being inversely proportional to the
variances. If you use the PDIFF=ANOM option in the LSMEANS statement, the procedure will display
the p-values (adjusted for multiplicity, by default) for tests of the differences between each LS-mean and
the average LS-mean. The ANOM procedure in SAS/QC software displays both tables and graphics for
the analysis of means with a variety of response types. For one-way designs, confidence intervals for
PDIFF=ANOM comparisons are equivalent to the results of PROC ANOM. The difference is that PROC
GLM directly displays the confidence intervals for the differences, while the graphical output of PROC
ANOM displays them as decision limits around the overall mean.
If the LS-means being compared are uncorrelated, exact adjusted p-values and critical values for confidence
limits can be computed; see Nelson (1982, 1991, 1993) and Guirguis and Tobias (2004). For correlated
LS-means, an approach similar to that of Hsu (1992) is employed, using a factor-analytic approximation of
the correlation between the LS-means to derive approximate “effective sample sizes” for which exact critical
values are computed. Note that computing the exact adjusted p-values and critical values for unbalanced
designs can be computationally intensive. A simulation-based approach, as specified by the ADJUST=SIM
option, while nondeterministic, might provide inferences that are accurate enough in much less time. See the
section “Approximate and Simulation-Based Methods” on page 4125 for more details.

Approximate and Simulation-Based Methods

Tukey’s, Dunnett’s, and Nelson’s tests are all based on the same general quantile calculation:

q t .˛; ; R/ D fq 3 P .max.jt1 j; : : : ; jtn j/ > q/ D ˛g

where the ti have a joint multivariate t distribution with  degrees of freedom and correlation matrix R. In
general, evaluating q t .˛; ; R/ requires repeated numerical calculation of an .n C 1/-fold integral. This is
usually intractable, but the problem reduces to a feasible 2-fold integral when R has a certain symmetry in the
case of Tukey’s test, and a factor analytic structure (Hsu 1992) in the case of Dunnett’s and Nelson’s tests.
The R matrix has the required symmetry for exact computation of Tukey’s test in the following two cases:

 The ti s are studentized differences between k.k 1/=2 pairs of k uncorrelated means with equal
variances—that is, equal sample sizes.
 The ti s are studentized differences between k.k 1/=2 pairs of k LS-means from a variance-balanced
design (for example, a balanced incomplete block design).

See Hsu (1992, 1996) for more information. The R matrix has the factor analytic structure for exact
computation of Dunnett’s and Nelson’s tests in the following two cases:

 if the ti s are studentized differences between k – 1 means and a control mean, all uncorrelated.
(Dunnett’s one-sided methods depend on a similar probability calculation, without the absolute values.)
Note that it is not required that the variances of the means (that is, the sample sizes) be equal.
 if the ti s are studentized differences between k – 1 LS-means and a control LS-mean from either a
variance-balanced design, or a design in which the other factors are orthogonal to the treatment factor
(for example, a randomized block design with proportional cell frequencies)
4126 F Chapter 53: The GLM Procedure

However, other important situations that do not result in a correlation matrix R that has the structure for exact
computation are the following:

 all pairwise differences with unequal sample sizes

 differences between LS-means in many unbalanced designs

In these situations, exact calculation of q t .˛; ; R/ is intractable in general. Most of the preceding methods
can be viewed as using various approximations for q t .˛; ; R/. When the sample sizes are unequal, the Tukey-
Kramer test is equivalent to another approximation. For comparisons with a control when the correlation
R does not have a factor analytic structure, Hsu (1992) suggests approximating R with a matrix R that
does have such a structure and correspondingly approximating q t .˛; ; R/ with q t .˛; ; R /. When you
request Dunnett’s or Nelson’s test for LS-means (the PDIFF=CONTROL and ADJUST=DUNNETT options
or the PDIFF=ANOM and ADJUST=NELSON options, respectively), the GLM procedure automatically
uses Hsu’s approximation when appropriate.
Finally, Edwards and Berry (1987) suggest calculating q t .˛; ; R/ by simulation. Multivariate t vectors are
sampled from a distribution with the appropriate  and R parameters, and Edwards and Berry (1987) suggest
estimating q t .˛; ; R/ by q,
O the ˛th percentile of the observed values of max.jt1 j; : : : ; jtn j/. Sufficient
samples are generated for the true P .max.jt1 j; : : : ; jtn j/ > q/
O to be within a certain accuracy radius of
˛ with accuracy confidence 100.1 /. You can approximate q t .˛; ; R/ by simulation for comparisons
between LS-means by specifying ADJUST=SIM (with any PDIFF= type). By default, D 0:005 and
 D 0:01, so that the tail area of qO is within 0.005 of ˛ with 99% confidence. You can use the ACC= and
EPS= options with ADJUST=SIM to reset and , or you can use the NSAMP= option to set the sample
size directly. You can also control the random number sequence with the SEED= option.
Hsu and Nelson (1998) suggest a more accurate simulation method for estimating q t .˛; ; R/, using a
control variate adjustment technique. The same independent, standardized normal variates that are used to
generate multivariate t vectors from a distribution with the appropriate  and R parameters are also used
to generate multivariate t vectors from a distribution for which the exact value of q t .˛; ; R/ is known.
max.jt1 j; : : : ; jtn j/ for the second sample is used as a control variate for adjusting the quantile estimate
based on the first sample; see Hsu and Nelson (1998) for more details. The control variate adjustment has
the drawback that it takes somewhat longer than the crude technique of Edwards and Berry (1987), but it
typically yields an estimate that is many times more accurate. In most cases, if you are using ADJUST=SIM,
then you should specify ADJUST=SIM(CVADJUST). You can also specify ADJUST=SIM(CVADJUST
REPORT) to display a summary of the simulation that includes, among other things, the actual accuracy
radius , which should be substantially smaller than the target accuracy radius (0.005 by default).

Multiple-Stage Tests
You can use all of the methods discussed so far to obtain simultaneous confidence intervals (Miller 1981). By
sacrificing the facility for simultaneous estimation, you can obtain simultaneous tests with greater power by
using multiple-stage tests (MSTs). MSTs come in both step-up and step-down varieties (Welsch 1977). The
step-down methods, which have been more widely used, are available in SAS/STAT software.
Step-down MSTs first test the homogeneity of all the means at a level k . If the test results in a rejection,
then each subset of k – 1 means is tested at level k 1 ; otherwise, the procedure stops. In general, if the
hypothesis of homogeneity of a set of p means is rejected at the p level, then each subset of p 1 means is
tested at the p 1 level; otherwise, the set of p means is considered not to differ significantly and none of
its subsets are tested. The many varieties of MSTs that have been proposed differ in the levels p and the
 Comparing Groups F 4127

statistics on which the subset tests are based. Clearly, the EERC of a step-down MST is not greater than k,
and the CER is not greater than 2 , but the MEER is a complicated function of p , p D 2; : : : ; k.
With unequal cell sizes, PROC GLM uses the harmonic mean of the cell sizes as the common sample size.
However, since the resulting operating characteristics can be undesirable, MSTs are recommended only for
the balanced case. When the sample sizes are equal, using the range statistic enables you to arrange the means
in ascending or descending order and test only contiguous subsets. But if you specify the F statistic, this
shortcut cannot be taken. For this reason, only range-based MSTs are implemented. It is common practice
to report the results of an MST by writing the means in such an order and drawing lines parallel to the list
of means spanning the homogeneous subsets. This form of presentation is also convenient for pairwise
comparisons with equal cell sizes.
The best-known MSTs are the Duncan (the DUNCAN option) and Student-Newman-Keuls (the SNK option)
methods (Miller 1981). Both use the studentized range statistic and, hence, are called multiple range tests.
Duncan’s method is often called the “new” multiple range test despite the fact that it is one of the oldest
MSTs in current use.
The Duncan and SNK methods differ in the p values used. For Duncan’s method, they are

p D 1 .1 ˛/p 1

whereas the SNK method uses

p D ˛

Duncan’s method controls the CER at the ˛ level. Its operating characteristics appear similar to those of
Fisher’s unprotected LSD or repeated t tests at level ˛ (Petrinovich and Hardyck 1969). Since repeated t
tests are easier to compute, easier to explain, and applicable to unequal sample sizes, Duncan’s method is
not recommended. Several published studies (for example, Carmer and Swanson (1973)) have claimed that
Duncan’s method is superior to Tukey’s because of greater power without considering that the greater power
of Duncan’s method is due to its higher type 1 error rate (Einot and Gabriel 1975).
The SNK method holds the EERC to the ˛ level but does not control the MEER (Einot and Gabriel 1975).
Consider ten population means that occur in five pairs such that means within a pair are equal, but there
are large differences between pairs. If you make the usual sampling assumptions and also assume that the
sample sizes are very large, all subset homogeneity hypotheses for three or more means are rejected. The
SNK method then comes down to five independent tests, one for each pair, each at the ˛ level. Letting ˛ be
0.05, the probability of at least one false rejection is

1 .1 0:05/5 D 0:23

As the number of means increases, the MEER approaches 1. Therefore, the SNK method cannot be
recommended.
A variety of MSTs that control the MEER have been proposed, but these methods are not as well known as
those of Duncan and SNK. One approach (Ryan 1959, 1960; Einot and Gabriel 1975; Welsch 1977) sets

˛/p=k
(
1 .1 for p < k 1
p D
˛ for p  k 1
4128 F Chapter 53: The GLM Procedure

You can use range statistics, leading to what is called the REGWQ method, after the authors’ initials. If you
assume that the sample means have been arranged in descending order from yN1 through yNk , the homogeneity
of means yNi ; : : : ; yNj ; i < j , is rejected by REGWQ if

s
yNi yNj  q. p I p; / p
n

where p D j i C 1 and the summations are over u D i; : : : ; j (Einot and Gabriel 1975). To ensure that
the MEER is controlled, the current implementation checks whether q. p I p; / is monotonically increasing
in p. If not, then a set of critical values that are increasing in p is substituted instead.
REGWQ appears to be the most powerful step-down MST in the current literature (for example, Ramsey
1978). Use of a preliminary F test decreases the power of all the other multiple-comparison methods discussed
previously except for Scheffé’s test.

Bayesian Approach
Waller and Duncan (1969) and Duncan (1975) take an approach to multiple comparisons that differs from all
the methods previously discussed in minimizing the Bayes risk under additive loss rather than controlling
ij ij
type 1 error rates. For each pair of population means i and j , null .H0 / and alternative .Ha / hypotheses
are defined:

ij
H0 W i j  0
Haij W i j > 0

ij ij
For any i, j pair, let d0 indicate a decision in favor of H0 and da indicate a decision in favor of Ha , and let
ı D i j . The loss function for the decision on the i, j pair is
(
0 if ı  0
L.d0 j ı/ D
ı if ı > 0
(
kı if ı  0
L.da j ı/ D
0 if ı > 0

where k represents a constant that you specify rather than the number of means. The loss for the joint decision
involving all pairs of means is the sum of the losses for each individual decision. The population means are
assumed to have a normal prior distribution with unknown variance, the logarithm of the variance of the
means having a uniform prior distribution. For the i, j pair, the null hypothesis is rejected if
r
2
yNi yNj  tB s
n

where tB is the Bayesian t value (Waller and Kemp 1976) depending on k, the F statistic for the one-way
ANOVA, and the degrees of freedom for F. The value of tB is a decreasing function of F, so the Waller-Duncan
test (specified by the WALLER option) becomes more liberal as F increases.
 Comparing Groups F 4129

Recommendations
In summary, if you are interested in several individual comparisons and are not concerned about the effects
of multiple inferences, you can use repeated t tests or Fisher’s unprotected LSD. If you are interested in all
pairwise comparisons or all comparisons with a control, you should use Tukey’s or Dunnett’s test, respectively,
in order to make the strongest possible inferences. If you have weaker inferential requirements and, in
particular, if you do not want confidence intervals for the mean differences, you should use the REGWQ
method. Finally, if you agree with the Bayesian approach and Waller and Duncan’s assumptions, you should
use the Waller-Duncan test.

Interpretation of Multiple Comparisons

When you interpret multiple comparisons, remember that failure to reject the hypothesis that two or more
means are equal should not lead you to conclude that the population means are, in fact, equal. Failure to
reject the null hypothesis implies only that the difference between population means, if any, is not large
enough to be detected with the given sample size. A related point is that nonsignificance is nontransitive: that
is, given three sample means, the largest and smallest might be significantly different from each other, while
neither is significantly different from the middle one. Nontransitive results of this type occur frequently in
multiple comparisons.
Multiple comparisons can also lead to counterintuitive results when the cell sizes are unequal. Consider
four cells labeled A, B, C, and D, with sample means in the order A>B>C>D. If A and D each have two
observations, and B and C each have 10,000 observations, then the difference between B and C might be
significant, while the difference between A and D is not.

Simple Effects
Suppose you use the following statements to fit a full factorial model to a two-way design:

data twoway;
input A B Y @@;
datalines;
1 1 10.6 1 1 11.0 1 1 10.6 1 1 11.3
1 2 -0.2 1 2 1.3 1 2 -0.2 1 2 0.2
1 3 0.1 1 3 0.4 1 3 -0.4 1 3 1.0
2 1 19.7 2 1 19.3 2 1 18.5 2 1 20.4
2 2 -0.2 2 2 0.5 2 2 0.8 2 2 -0.4
2 3 -0.9 2 3 -0.1 2 3 -0.2 2 3 -1.7
3 1 29.7 3 1 29.6 3 1 29.0 3 1 30.2
3 2 1.5 3 2 0.2 3 2 -1.5 3 2 1.3
3 3 0.2 3 3 0.4 3 3 -0.4 3 3 -2.2
;

proc glm data=twoway;

class A B;
model Y = A B A*B;
run;
Partial results for the analysis of variance are shown in Figure 53.21. The Type I and Type III results are the
same because this is a balanced design.
4130 F Chapter 53: The GLM Procedure

Figure 53.21 Two-Way Design with Significant Interaction

The GLM Procedure

Dependent Variable: Y

Source DF Type I SS Mean Square F Value Pr > F

A 2 219.905000 109.952500 165.11 <.0001
B 2 3206.101667 1603.050833 2407.25 <.0001
A*B 4 487.103333 121.775833 182.87 <.0001

Source DF Type III SS Mean Square F Value Pr > F

A 2 219.905000 109.952500 165.11 <.0001
B 2 3206.101667 1603.050833 2407.25 <.0001
A*B 4 487.103333 121.775833 182.87 <.0001

The interaction A*B is significant, indicating that the effect of A depends on the level of B. In some cases,
you might be interested in looking at the differences between predicted values across A for different levels
of B. Winer (1971) calls this the simple effects of A. You can compute simple effects with the LSMEANS
statement by specifying the SLICE= option. In this case, since the GLM procedure is interactive, you can
compute the simple effects of A by submitting the following statements after the preceding statements.

lsmeans A*B / slice=B;

run;
The results are shown Figure 53.22. Note that A has a significant effect for B=1 but not for B=2 and B=3.

Figure 53.22 Interaction LS-Means and Simple Effects

The GLM Procedure
Least Squares Means

A B Y LSMEAN
1 1 10.8750000
1 2 0.2750000
1 3 0.2750000
2 1 19.4750000
2 2 0.1750000
2 3 -0.7250000
3 1 29.6250000
3 2 0.3750000
3 3 -0.5000000

The GLM Procedure

Least Squares Means

A*B Effect Sliced by B for Y

Sum of
B DF Squares Mean Square F Value Pr > F
1 2 704.726667 352.363333 529.13 <.0001
2 2 0.080000 0.040000 0.06 0.9418
3 2 2.201667 1.100833 1.65 0.2103
 Comparing Groups F 4131

Homogeneity of Variance in One-Way Models

One of the usual assumptions in using the GLM procedure is that the underlying errors are all uncorrelated
with homogeneous variances (see page 4094). You can test this assumption in PROC GLM by using the
HOVTEST option in the MEANS statement, requesting a homogeneity of variance test. This section discusses
the computational details behind these tests. Note that the GLM procedure allows homogeneity of variance
testing for simple one-way models only. Homogeneity of variance testing for more complex models is a
subject of current research.
Bartlett (1937) proposes a test for equal variances that is a modification of the normal-theory likelihood ratio
test (the HOVTEST=BARTLETT option). While Bartlett’s test has accurate Type I error rates and optimal
power when the underlying distribution of the data is normal, it can be very inaccurate if that distribution is
even slightly nonnormal (Box 1953). Therefore, Bartlett’s test is not recommended for routine use.
An approach that leads to tests that are much more robust to the underlying distribution is to transform the
original values of the dependent variable to derive a dispersion variable and then to perform analysis of
variance on this variable. The significance level for the test of homogeneity of variance is the p-value for the
ANOVA F test on the dispersion variable. All of the homogeneity of variance tests available in PROC GLM
except Bartlett’s use this approach.
Levene’s test (Levene 1960) is widely considered to be the standard homogeneity of variance test (the
HOVTEST=LEVENE option). Levene’s test is of the dispersion-variable-ANOVA form discussed previously,
where the dispersion variable is either of the following:
2
zij D .yij yNi /2 (TYPE=SQUARE, the default)
zij D jyij yNi j (TYPE=ABS)

2
O’Brien (1979) proposes a test (HOVTEST=OBRIEN) that is basically a modification of Levene’s zij , using
the dispersion variable

W .W C ni 2/ni .yij yNi /2 W .ni 1/i2

zij D
.ni 1/.ni 2/

where ni is the size of the ith group and i2 is its sample variance. You can use the W= option in parentheses
W
to tune O’Brien’s zij dispersion variable to match the suspected kurtosis of the underlying distribution.
The choice of the value of the W= option is rarely critical. By default, W=0.5, as suggested by O’Brien
(1979, 1981).
Finally, Brown and Forsythe (1974) suggest using the absolute deviations from the group medians:

BF
zij D jyij mi j

where mi is the median of the ith group. You can use the HOVTEST=BF option to specify this test.
Simulation results (Conover, Johnson, and Johnson 1981; Olejnik and Algina 1987) show that, while all of
these ANOVA-based tests are reasonably robust to the underlying distribution, the Brown-Forsythe test seems
best at providing power to detect variance differences while protecting the Type I error probability. However,
since the within-group medians are required for the Brown-Forsythe test, it can be resource intensive if there
are very many groups or if some groups are very large.
4132 F Chapter 53: The GLM Procedure

If one of these tests rejects the assumption of homogeneity of variance, you should use Welch’s ANOVA
instead of the usual ANOVA to test for differences between group means. However, this conclusion holds
only if you use one of the robust homogeneity of variance tests (that is, not for HOVTEST=BARTLETT);
even then, any homogeneity of variance test has too little power to be relied upon to always detect when
Welch’s ANOVA is appropriate. Unless the group variances are extremely different or the number of groups
is large, the usual ANOVA test is relatively robust when the groups are all about the same size. As Box
(1953) notes, “To make the preliminary test on variances is rather like putting to sea in a rowing boat to find
out whether conditions are sufficiently calm for an ocean liner to leave port!”
Example 53.10 illustrates the use of the HOVTEST and WELCH options in the MEANS statement in testing
for equal group variances and adjusting for unequal group variances in a one-way ANOVA.

Weighted Means
If you specify a WEIGHT statement and one or more of the multiple comparisons options, the variance of
the difference between weighted group means for group i and j is computed as
 
1 1
MSE  C
wi wj
where wi is the sum of the weights for the observations in group i.

Construction of Least Squares Means

To construct a least squares mean (LS-mean) for a particular level of a particular effect, construct a row
vector L according to the following rules and use it in an ESTIMATE statement to compute the value of the
LS-mean:

1. Set all Li that correspond to covariates (continuous variables) to their mean value.
2. Consider effects that are contained by the particular effect. (For a definition of containing, see
Chapter 16, “The Four Types of Estimable Functions.”) Set the Li that correspond to levels associated
with the particular level equal to 1. Set all other Li in these effects equal to 0.
3. Consider the particular effect. Set the Li that correspond to the particular level equal to 1. Set the Li
that correspond to other levels equal to 0.
4. Consider the effects that contain the particular effect. If these effects are not nested within the particular
effect, then set the Li that correspond to the particular level to 1=k, where k is the number of such
columns. If these effects are nested within the particular effect, then set the Li that correspond to the
particular level to 1=.k1 k2 /, where k1 is the number of nested levels within this combination of nested
effects and k2 is the number of such combinations. For Li that correspond to other levels, use 0.
5. Consider other effects that are not yet considered. For each effect that has no nested factors, set all Li
that correspond to this effect to 1=j , where j is the number of levels in the effect. For each effect that
has nested factors, set all Li that correspond to this effect to 1=.j1 j2 /, where j1 is the number of nested
levels within a particular combination of nested effects and j2 is the number of such combinations.

The consequence of these rules is that the sum of the Xs within any classification effect is 1. This set of Xs
forms a linear combination of the parameters that is checked for estimability before it is evaluated.
For example, consider the following model:
 Comparing Groups F 4133

proc glm;
class A B C;
model Y=A B A*B C Z;
lsmeans A B A*B C;
run;
Assume A has 3 levels, B has 2 levels, and C has 2 levels, and assume that every combination of levels of A
and B exists in the data. Assume also that Z is a continuous variable with an average of 12.5. Then the least
squares means are computed by the following linear combinations of the parameter estimates:

A B A*B C
 1 2 3 1 2 11 12 21 22 31 32 1 2 Z
LSM( ) 1 1/3 1/3 1/3 1/2 1/2 1/6 1/6 1/6 1/6 1/6 1/6 1/2 1/2 12.5
LSM(A1) 1 1 0 0 1/2 1/2 1/2 1/2 0 0 0 0 1/2 1/2 12.5
LSM(A2) 1 0 1 0 1/2 1/2 0 0 1/2 1/2 0 0 1/2 1/2 12.5
LSM(A3) 1 0 0 1 1/2 1/2 0 0 0 0 1/2 1/2 1/2 1/2 12.5
LSM(B1) 1 1/3 1/3 1/3 1 0 1/3 0 1/3 0 1/3 0 1/2 1/2 12.5
LSM(B2) 1 1/3 1/3 1/3 0 1 0 1/3 0 1/3 0 1/3 1/2 1/2 12.5
LSM(AB11) 1 1 0 0 1 0 1 0 0 0 0 0 1/2 1/2 12.5
LSM(AB12) 1 1 0 0 0 1 0 1 0 0 0 0 1/2 1/2 12.5
LSM(AB21) 1 0 1 0 1 0 0 0 1 0 0 0 1/2 1/2 12.5
LSM(AB22) 1 0 1 0 0 1 0 0 0 1 0 0 1/2 1/2 12.5
LSM(AB31) 1 0 0 1 1 0 0 0 0 0 1 0 1/2 1/2 12.5
LSM(AB32) 1 0 0 1 0 1 0 0 0 0 0 1 1/2 1/2 12.5
LSM(C1) 1 1/3 1/3 1/3 1/2 1/2 1/6 1/6 1/6 1/6 1/6 1/6 1 0 12.5
LSM(C2) 1 1/3 1/3 1/3 1/2 1/2 1/6 1/6 1/6 1/6 1/6 1/6 0 1 12.5

Setting Covariate Values

By default, all covariate effects are set equal to their mean values for computation of standard LS-means.
The AT option in the LSMEANS statement enables you to set the covariates to whatever values you consider
interesting.
If any effect contains two or more covariates, the AT option sets the effect equal to the product of the
individual means rather than the mean of the product (as with standard LS-means calculations). The AT
MEANS option leaves covariates equal to their mean values (as with standard LS-means) and incorporates
this adjustment to crossproducts of covariates.
For example, the following statements specify a model with a classification variable A and two continuous
variables, x1 and x2:

class A;
model y = A x1 x2 x1*x2;
The coefficients for the continuous effects with various AT specifications are shown in the following table.
4134 F Chapter 53: The GLM Procedure

Syntax x1 x2 x1*x2
lsmeans A; x1 x2 x1 x2
lsmeans A / at means; x1 x2 x1
x2
lsmeans A / at x1=1.2; 1.2 x2 1:2
x2
lsmeans A / at (x1 x2)=(1.2 0.3); 1.2 0.3 1:2
0:3

For the first two LSMEANS statements, the A LS-mean coefficient for x1 is x1 (the mean of x1) and for x2 is
x2 (the mean of x2). However, the coefficient for x1*x2 is x1 x2 for the first LSMEANS statement, but it is
x1
x2 for the second LSMEANS statement. The third LSMEANS statement sets the coefficient for x1 equal
to 1.2 and leaves the coefficient for x2 at x2 , and the final LSMEANS statement sets these values to 1.2 and
0.3, respectively.
The covariate means used in computing the LS-means are affected by the AT option in the LSMEANS
statement as follows:

 If you use a WEIGHT statement:

– If you do not specify the AT option, unweighted covariate means are used for the covariate
coefficients.
– If you specify the AT option, weighted covariate means are used for the covariate coefficients
for which no explicit AT values are specified (thus for all the covariate means if you specify AT
MEANS).

 If any observations have missing dependent variable values:

– If you do not specify the AT option, these observations are not included in computing the covariate
means.
– If you specify the AT option, these observations are included unless they form a missing cell (a
combination of CLASS variables all of whose responses are missing).

These conditions are summarized in Table 53.14. You can use the E option in conjunction with the AT option
to verify that the modified LS-means coefficients are the ones you want.

Table 53.14 Treatment of Covariate Means with and without the AT Option

Without AT With AT
WEIGHT statement Weights not used Weights used
Observations with missing Observations not included Observations included
dependent variable values

The AT option is disabled if you specify the BYLEVEL option, in which case the coefficients for the
covariates are set equal to their means within each level of the LS-mean effect in question.

Changing the Weighting Scheme

The standard LS-means have equal coefficients across classification effects; however, the OM option in the
LSMEANS statement changes these coefficients to be proportional to those found in the input data set. This
 Multivariate Analysis of Variance F 4135

adjustment is reasonable when you want your inferences to apply to a population that is not necessarily
balanced but has the margins observed in the original data set.
In computing the observed margins, PROC GLM uses all observations for which there are no missing
independent variables, including those for which there are missing dependent variables. Also, if there is
a WEIGHT variable, PROC GLM uses weighted margins to construct the LS-means coefficients. If the
analysis data set is balanced or if you specify a simple one-way model, the LS-means will be unchanged by
the OM option.
The BYLEVEL option modifies the observed-margins LS-means. Instead of computing the margins across
the entire data set, PROC GLM computes separate margins for each level of the LS-mean effect in question.
The resulting LS-means are actually equal to raw means in this case. The BYLEVEL option disables the AT
option if it is specified.
Note that the MIXED procedure implements a more versatile form of the OM option, enabling you to
specifying an alternative data set over which to compute observed margins. If you use the BYLEVEL option,
too, then this data set is effectively the “population” over which the population marginal means are computed.
For more information, see Chapter 84, “The MIXED Procedure.”
You might want to use the E option in conjunction with either the OM or BYLEVEL option to verify that
the modified LS-means coefficients are the ones you want. It is possible that the modified LS-means are not
estimable when the standard ones are, or vice versa.

Estimability of LS-Means
LS-means are defined as certain linear combinations of the parameters. As such, it is possible for them to be
inestimable. In fact, it is possible for a pair of LS-means to be both inestimable but their difference estimable.
When this happens, only the entries that correspond to the estimable difference are computed and displayed
in the Diffs table. If ADJUST=SIMULATE is specified when there are inestimable LS-means differences,
adjusted results for all differences are displayed as missing.

Multivariate Analysis of Variance

If you fit several dependent variables to the same effects, you might want to make joint tests involving
parameters of several dependent variables. Suppose you have p dependent variables, k parameters for each
dependent variable, and n observations. The models can be collected into one equation:
Y D Xˇ C 
where Y is n  p, X is n  k, ˇ is k  p, and  is n  p. Each of the p models can be estimated and
tested separately. However, you might also want to consider the joint distribution and test the p models
simultaneously.
For multivariate tests, you need to make some assumptions about the errors. With p dependent variables,
there are n  p errors that are independent across observations but not across dependent variables. Assume
vec./  N.0; In ˝ †/
where vec./ strings  out by rows, ˝ denotes Kronecker product multiplication, and † is p  p. † can be
estimated by
e0 e .Y Xb/0 .Y Xb/
SD D
n r n r
4136 F Chapter 53: The GLM Procedure

where b D .X0 X/ X0 Y, r is the rank of the X matrix, and e is the matrix of residuals.
If S is scaled to unit diagonals, the values in S are called partial correlations of the Ys adjusting for the Xs.
This matrix can be displayed by PROC GLM if PRINTE is specified as a MANOVA option.
The multivariate general linear hypothesis is written

LˇM D 0

You can form hypotheses for linear combinations across columns, as well as across rows of ˇ.
The MANOVA statement of the GLM procedure tests special cases where L corresponds to Type I, Type II,
Type III, or Type IV tests, and M is the p  p identity matrix. These tests are joint tests that the given type of
hypothesis holds for all dependent variables in the model, and they are often sufficient to test all hypotheses
of interest.
Finally, when these special cases are not appropriate, you can specify your own L and M matrices by using the
CONTRAST statement before the MANOVA statement and the M= specification in the MANOVA statement,
respectively. Another alternative is to use a REPEATED statement, which automatically generates a variety
of M matrices useful in repeated measures analysis of variance. See the section “REPEATED Statement” on
page 4088 and the section “Repeated Measures Analysis of Variance” on page 4137 for more information.
One useful way to think of a MANOVA analysis with an M matrix other than the identity is as an analysis of
a set of transformed variables defined by the columns of the M matrix. You should note, however, that PROC
GLM always displays the M matrix in such a way that the transformed variables are defined by the rows, not
the columns, of the displayed M matrix.
All multivariate tests carried out by the GLM procedure first construct the matrices H and E corresponding to
the numerator and denominator, respectively, of a univariate F test:

H D M0 .Lb/0 .L.X0 X/ L0 / 1
.Lb/M
E D M0 .Y0 Y b0 .X0 X/b/M

The diagonal elements of H and E correspond to the hypothesis and error SS for univariate tests. When
the M matrix is the identity matrix (the default), these tests are for the original dependent variables on the
left side of the MODEL statement. When an M matrix other than the identity is specified, the tests are for
transformed variables defined by the columns of the M matrix. These tests can be studied by requesting the
SUMMARY option, which produces univariate analyses for each original or transformed variable.
Four multivariate test statistics, all functions of the eigenvalues of E 1H (or .E C H/ 1 H), are constructed:

 Wilks’ lambda = det.E//det.H C E/

 Pillai’s trace = trace.H.H C E/ 1/

 Hotelling-Lawley trace = trace.E 1 H/

 Roy’s greatest root = , largest eigenvalue of E 1H

By default, all four are reported with p-values based on F approximations, as discussed in the “Multi-
variate Tests” section in Chapter 5, “Introduction to Regression Procedures.” Alternatively, if you specify
 Repeated Measures Analysis of Variance F 4137

MSTAT=EXACT in the associated MANOVA or REPEATED statement, p-values for three of the four tests
are computed exactly (Wilks’ lambda, the Hotelling-Lawley trace, and Roy’s greatest root), and the p-values
for the fourth (Pillai’s trace) are based on an F approximation that is more accurate than the default. See the
“Multivariate Tests” section in Chapter 5, “Introduction to Regression Procedures,” for more details on the
exact calculations.

Repeated Measures Analysis of Variance

When several measurements are taken on the same experimental unit (person, plant, machine, and so on), the
measurements tend to be correlated with each other. When the measurements represent qualitatively different
things, such as weight, length, and width, this correlation is best taken into account by use of multivariate
methods, such as multivariate analysis of variance. When the measurements can be thought of as responses
to levels of an experimental factor of interest, such as time, treatment, or dose, the correlation can be taken
into account by performing a repeated measures analysis of variance.
PROC GLM provides both univariate and multivariate tests for repeated measures for one response. For an
overall reference on univariate repeated measures, see Winer (1971). The multivariate approach is covered
in Cole and Grizzle (1966). For a discussion of the relative merits of the two approaches, see LaTour and
Miniard (1983).
Another approach to analysis of repeated measures is via general mixed models. This approach can handle
balanced as well as unbalanced or missing within-subject data, and it offers more options for modeling the
within-subject covariance. The main drawback of the mixed models approach is that it generally requires
iteration and, thus, might be less computationally efficient. For further details on this approach, see Chapter 84,
“The MIXED Procedure,” and Wolfinger and Chang (1995).

Organization of Data for Repeated Measure Analysis

In order to deal efficiently with the correlation of repeated measures, the GLM procedure uses the multivariate
method of specifying the model, even if only a univariate analysis is desired. In some cases, data might
already be entered in the univariate mode, with each repeated measure listed as a separate observation along
with a variable that represents the experimental unit (subject) on which measurement is taken. Consider the
following data set Old:

data Old;
input Subject Group Time y;
datalines;
1 1 1 15
1 1 2 19
1 1 3 25
2 1 1 21
2 1 2 18
2 1 3 17
1 2 1 14
1 2 2 12
1 2 3 16
2 2 1 11
2 2 2 20
2 2 3 21
4138 F Chapter 53: The GLM Procedure

... more lines ...

10 3 1 14
10 3 2 18
10 3 3 16
;
There are three observations for each subject, corresponding to measurements taken at times 1, 2, and 3.
These data could be analyzed using the following statements:

proc glm data=Old;

class Group Subject Time;
model y=Group Subject(Group) Time Group*Time;
test h=Group e=Subject(Group);
run;
However, this analysis assumes subjects’ measurements are uncorrelated across time. A repeated measures
analysis does not make this assumption. It uses the following data set New:

data New;
input Group y1 y2 y3;
datalines;
1 15 19 25
1 21 18 17
2 14 12 16
2 11 20 21
2 24 15 12

... more lines ...

3 14 18 16
;
In the data set New, the three measurements for a subject are all in one observation. For example, the
measurements for subject 1 for times 1, 2, and 3 are 15, 19, and 25, respectively. For these data, the
statements for a repeated measures analysis (assuming default options) are

proc glm data=New;

class Group;
model y1-y3 = Group / nouni;
repeated Time;
run;
To convert the univariate form of repeated measures data to the multivariate form, you can use a program like
the following:

proc sort data=Old;

by Group Subject;
run;

data New(keep=y1-y3 Group);

array yy(3) y1-y3;
do Time = 1 to 3;
set Old;
by Group Subject;
 Repeated Measures Analysis of Variance F 4139

yy(Time) = y;
if last.Subject then return;
end;
run;
Alternatively, you could use PROC TRANSPOSE to achieve the same results with a program like this one:

proc sort data=Old;

by Group Subject;
run;

proc transpose out=New(rename=(_1=y1 _2=y2 _3=y3));

by Group Subject;
id Time;
run;
See the discussions in SAS Programmers Guide: Essentials for more information about rearrangement of
data sets.

Hypothesis Testing in Repeated Measures Analysis

In repeated measures analysis of variance, the effects of interest are as follows:

 between-subject effects (such as GROUP in the previous example)

 within-subject effects (such as TIME in the previous example)

 interactions between the two types of effects (such as GROUP*TIME in the previous example)

Repeated measures analyses are distinguished from MANOVA because of interest in testing hypotheses
about the within-subject effects and the within-subject-by-between-subject interactions.
For tests that involve only between-subjects effects, both the multivariate and univariate approaches give
rise to the same tests. These tests are provided for all effects in the MODEL statement, as well as for any
CONTRASTs specified. The ANOVA table for these tests is labeled “Tests of Hypotheses for Between
Subjects Effects” in the PROC GLM results. These tests are constructed by first adding together the dependent
variables in the model. Then an analysis of variance is performed on the sum divided by the square root of
the number of dependent variables. For example, the statements

model y1-y3=group;
repeated time;
p
give a one-way analysis of variance that uses .Y 1 C Y 2 C Y 3/= 3 as the dependent variable for performing
tests of hypothesis on the between-subject effect GROUP. Tests for between-subject effects are equivalent to
tests of the hypothesis LˇM D 0, where M is simply a vector of 1s.
For within-subject effects and for within-subject-by-between-subject interaction effects, the univariate and
multivariate approaches yield different tests. These tests are provided for the within-subject effects and for
the interactions between these effects and the other effects in the MODEL statement, as well as for any
CONTRASTs specified. The univariate tests are displayed in a table labeled “Univariate Tests of Hypotheses
for Within Subject Effects.” Results for multivariate tests are displayed in a table labeled “Repeated Measures
Analysis of Variance.”
4140 F Chapter 53: The GLM Procedure

The multivariate tests provided for within-subjects effects and interactions involving these effects are Wilks’
lambda, Pillai’s trace, Hotelling-Lawley trace, and Roy’s greatest root. For further details on these four
statistics, see the “Multivariate Tests” section in Chapter 5, “Introduction to Regression Procedures.” As an
example, the statements

model y1-y3=group;
repeated time;
produce multivariate tests for the within-subject effect TIME and the interaction TIME*GROUP.
The multivariate tests for within-subject effects are produced by testing the hypothesis LˇM D 0, where the
L matrix is the usual matrix corresponding to the Type I, Type II, Type III, or Type IV hypotheses test, and
the M matrix is one of several matrices depending on the transformation that you specify in the REPEATED
statement. These multivariate tests require that the column rank of M be less than or equal to the number of
error degrees of freedom. Besides that, the only assumption required for valid tests is that the dependent
variables in the model have a multivariate normal distribution with a common covariance matrix across the
between-subject effects.
The univariate tests for within-subject effects and interactions involving these effects require some assump-
tions for the probabilities provided by the ordinary F tests to be correct. Specifically, these tests require certain
patterns of covariance matrices, known as Type H covariances (Huynh and Feldt 1970). Data with these
patterns in the covariance matrices are said to satisfy the Huynh-Feldt condition. You can test this assumption
(and the Huynh-Feldt condition) by applying a sphericity test (Anderson 1958) to any set of variables defined
by an orthogonal contrast transformation. Such a set of variables is known as a set of orthogonal components.
When you use the PRINTE option in the REPEATED statement, this sphericity test is applied both to the
transformed variables defined by the REPEATED statement and to a set of orthogonal components if the
specified transformation is not orthogonal. It is the test applied to the orthogonal components that is important
in determining whether your data have a Type H covariance structure. When there are only two levels of
the within-subject effect, there is only one transformed variable, and a sphericity test is not needed. The
sphericity test is labeled “Test for Sphericity” in the output.
If your data satisfy the preceding assumptions, use the usual F tests to test univariate hypotheses for the
within-subject effects and associated interactions.
If your data do not satisfy the assumption of Type H covariance, an adjustment to numerator and denominator
degrees of freedom can be used. Several such adjustments, based on a degrees-of-freedom adjustment factor
known as  (epsilon) (Box 1954), are provided in PROC GLM. All these adjustments estimate  and then
multiply the numerator and denominator degrees of freedom by this estimate before determining significance
levels for the F tests. Significance levels associated with the adjusted tests are labeled “Adj Pr > F” in the
output. Two such adjustments are displayed. One is the maximum likelihood estimate of Box’s  factor,
which is known to be conservative, possibly very much so. The other adjustment is intended to be unbiased
although possibly at the cost of being liberal. The first adjustment is labeled as the “Greenhouse-Geisser
Epsilon.” It has the form

trace2 .E/=b
OGG D
trace.E2 /

where E is the error matrix for the corresponding multivariate test and b is the degrees of freedom for the
hypothesis being tested. OGG was initially proposed for use in data analysis by Greenhouse and Geisser
(1959). Significance levels associated with F tests thus adjusted are labeled “G-G” in the output.
 Repeated Measures Analysis of Variance F 4141

Huynh and Feldt (1976) showed that OGG tends to be biased downward (that is, conservative), especially for
small samples. Alternative estimates have been proposed to overcome this conservative bias, and there are
several options for which estimate to display along with OGG .

 Huynh and Feldt (1976) proposed an estimate of Box’s epsilon, constructed using estimators of its
numerator and denominator that are intended to be unbiased. The Huynh-Feldt epsilon has the form of
a modification of the Greenhouse-Geisser epsilon,

nb OGG 2
OHF D
b.DFE b OGG /

where n is the number of subjects and DFE is the degrees of freedom for error. The numerator
of this estimate is precisely unbiased only when there are no between-subject effects, but OHF is
still often employed even with nontrivial between-subject models; it was the only unbiased epsilon
alternative in SAS/STAT releases before SAS/STAT 9.22. The Huynh-Feldt epsilon is no longer the
default, but you can request it and its corresponding F test by using the UEPSDEF=HF option in the
REPEATED statement. The estimate is labeled “Huynh-Feldt Epsilon” in the PROC GLM output, and
the significance levels associated with adjusted F tests are labeled “H-F.”

 Lecoutre (1991) gave the unbiased form of the numerator of Box’s epsilon when there is one between-
subject effect. The correct form of Huynh and Feldt’s idea in this case is

.DFE C 1/b OGG 2

OHFL D
b.DFE b OGG /

More recently, Gribbin (2007) showed that OHFL applies to general between-subject models, and Chi
et al. (2012) showed that it extends even to situations where the number of error degrees of freedom is
less than the column rank of the within-subject contrast matrix. Thus, the Lecoutre correction of the
Huynh-Feldt epsilon is displayed by default along with the Greenhouse-Geisser epsilon; you can also
explicitly request it by using the UEPSDEF=HFL option in the REPEATED statement. The estimate
is labeled “Huynh-Feldt-Lecoutre Epsilon” in the PROC GLM output, and the significance levels
associated with adjusted F tests are labeled “H-F-L.”

 Finally, Chi et al. (2012) suggest that Box’s epsilon might be better estimated by replacing the reciprocal
of an unbiased form of the denominator with an approximately unbiased form of the reciprocal itself.
The resulting estimator can be written as a multiple of the corrected Huynh-Feldt epsilon OHFL ,

OCM D OHFL .a 2/.a 4/=a2

where a D .DFE 1/CDFE.DFE 1/=2. Simulations indicate that OCM does a good job of providing
accurate p-values without being either too conservative or too liberal. Over a wide range of cases, it is
never much worse than any other alternative epsilon and often much better. You can request that the
Chi-Muller epsilon estimate and its corresponding F test be displayed by using the UEPSDEF=CM
option in the REPEATED statement. The estimate is labeled “Chi-Muller Epsilon” in the PROC GLM
output, and the significance levels associated with adjusted F tests are labeled “C-M.”

Although  must be in the range of 0 to 1, the three approximately unbiased estimators can be outside
this range. When any of these estimators is greater than 1, a value of 1 is used in all calculations for
4142 F Chapter 53: The GLM Procedure

probabilities—in other words, the probabilities are not adjusted. Additionally, if OCM < 1=b, then the degrees
of freedom are adjusted by 1=b instead of OCM .
In summary, if your data do not meet the assumptions, use adjusted F tests. However, when you strongly
suspect that your data might not have Type H covariance, all these univariate tests should be interpreted
cautiously. In such cases, you should consider using the multivariate tests instead.
The univariate sums of squares for hypotheses involving within-subject effects can be easily calculated from
the H and E matrices corresponding to the multivariate tests described in the section “Multivariate Analysis
of Variance” on page 4135. If the M matrix is orthogonal, the univariate sums of squares is calculated as the
trace (sum of diagonal elements) of the appropriate H matrix; if it is not orthogonal, PROC GLM calculates
the trace of the H matrix that results from an orthogonal M matrix transformation. The appropriate error
term for the univariate F tests is constructed in a similar way from the error SSCP matrix and is labeled
Error(factorname), where factorname indicates the M matrix that is used in the transformation.
When the design specifies more than one repeated measures factor, PROC GLM computes the M matrix for a
given effect as the direct (Kronecker) product of the M matrices defined by the REPEATED statement if the
factor is involved in the effect or as a vector of 1s if the factor is not involved. The test for the main effect of
a repeated measures factor is constructed using an L matrix that corresponds to a test that the mean of the
observation is zero. Thus, the main effect test for repeated measures is a test that the means of the variables
defined by the M matrix are all equal to zero, while interactions involving repeated measures effects are tests
that the between-subjects factors involved in the interaction have no effect on the means of the transformed
variables defined by the M matrix. In addition, you can specify other L matrices to test hypotheses of interest
by using the CONTRAST statement, since hypotheses defined by CONTRAST statements are also tested
in the REPEATED analysis. To see which combinations of the original variables the transformed variables
represent, you can specify the PRINTM option in the REPEATED statement. This option displays the
transpose of M, which is labeled as M in the PROC GLM results. The tests produced are the same for any
choice of transformation .M/ matrix specified in the REPEATED statement; however, depending on the
nature of the repeated measurements being studied, a particular choice of transformation matrix, coupled
with the CANONICAL or SUMMARY option, can provide additional insight into the data being studied.

Transformations Used in Repeated Measures Analysis of Variance

As mentioned in the specifications of the REPEATED statement, several different M matrices can be generated
automatically, based on the transformation that you specify in the REPEATED statement. Remember that both
the univariate and multivariate tests that PROC GLM performs are unaffected by the choice of transformation;
the choice of transformation is important only when you are trying to study the nature of a repeated measures
effect, particularly with the CANONICAL and SUMMARY options. If one of these matrices does not meet
your needs for a particular analysis, you might want to use the M= option in the MANOVA statement to
perform the tests of interest.
The following sections describe the transformations available in the REPEATED statement, provide an
example of the M matrix that is produced, and give guidelines for the use of the transformation. As in the
PROC GLM output, the displayed matrix is labeled M. This is the M0 matrix.

CONTRAST Transformation
This is the default transformation used by the REPEATED statement. It is useful when one level of the
repeated measures effect can be thought of as a control level against which the others are compared. For
example, if five drugs are administered to each of several animals and the first drug is a control or placebo,
the statements
 Repeated Measures Analysis of Variance F 4143

proc glm;
model d1-d5= / nouni;
repeated drug 5 contrast(1) / summary printm;
run;
produce the following M matrix:
2 3
1 1 0 0 0
6 1 0 1 0 0 7
MD6 4 1 0 0 1 0 5
7

1 0 0 0 1

When you examine the analysis of variance tables produced by the SUMMARY option, you can tell which of
the drugs differed significantly from the placebo.

POLYNOMIAL Transformation
This transformation is useful when the levels of the repeated measure represent quantitative values of a
treatment, such as dose or time. If the levels are unequally spaced, level values can be specified in parentheses
after the number of levels in the REPEATED statement. For example, if five levels of a drug corresponding
to 1, 2, 5, 10, and 20 milligrams are administered to different treatment groups, represented by the variable
group, the statements

proc glm;
class group;
model r1-r5=group / nouni;
repeated dose 5 (1 2 5 10 20) polynomial / summary printm;
run;

produce the following M matrix:

2 3
0:4250 0:3606 0:1674 0:1545 0:7984
6 0:4349 0:2073 0:3252 0:7116 0:3946 7
MD6 4 0:4331
7
0:1366 0:7253 0:5108 0:0821 5
0:4926 0:7800 0:3743 0:0936 0:0066

The SUMMARY option in this example provides univariate ANOVAs for the variables defined by the rows
of this M matrix. In this case, they represent the linear, quadratic, cubic, and quartic trends for dose and are
labeled dose_1, dose_2, dose_3, and dose_4, respectively.

HELMERT Transformation
Since the Helmert transformation compares a level of a repeated measure to the mean of subsequent levels, it
is useful when interest lies in the point at which responses cease to change. For example, if four levels of a
repeated measures factor represent responses to treatments administered over time to males and females, the
statements

proc glm;
class sex;
model resp1-resp4=sex / nouni;
repeated trtmnt 4 helmert / canon printm;
4144 F Chapter 53: The GLM Procedure

run;
produce the following M matrix:
2 3
1 0:33333 0:33333 0:33333
MD4 0 1 0:50000 0:50000 5
0 0 1 1

MEAN Transformation
This transformation can be useful in the same types of situations in which the CONTRAST transformation is
useful. If you substitute the following statement for the REPEATED statement shown in the CONTRAST
Transformation section,

repeated drug 5 mean / printm;

the following M matrix is produced:
2 3
1 0:25 0:25 0:25 0:25
6 0:25 1 0:25 0:25 0:25 7
MD6 4 0:25
7
0:25 1 0:25 0:25 5
0:25 0:25 0:25 1 0:25

As with the CONTRAST transformation, if you want to omit a level other than the last, you can specify it in
parentheses after the keyword MEAN in the REPEATED statement.

PROFILE Transformation
When a repeated measure represents a series of factors administered over time, but a polynomial response
is unreasonable, a profile transformation might prove useful. As an example, consider a training program
in which four different methods are employed to teach students at several different schools. The repeated
measure is the score on tests administered after each of the methods is completed. The statements

proc glm;
class school;
model t1-t4=school / nouni;
repeated method 4 profile / summary nom printm;
run;
produce the following M matrix:
2 3
1 1 0 0
MD4 0 1 1 0 5
0 0 1 1

To determine the point at which an improvement in test scores takes place, you can examine the analyses of
variance for the transformed variables representing the differences between adjacent tests. These analyses are
requested by the SUMMARY option in the REPEATED statement, and the variables are labeled METHOD.1,
METHOD.2, and METHOD.3.
 Random-Effects Analysis F 4145

Random-Effects Analysis
When some model effects are random (that is, assumed to be sampled from a normal population of effects),
you can specify these effects in the RANDOM statement in order to compute the expected values of mean
squares for various model effects and contrasts and, optionally, to perform random-effects analysis of variance
tests.

PROC GLM versus PROC MIXED for Random-Effects Analysis

Other SAS procedures that can be used to analyze models with random effects include the MIXED and
VARCOMP procedures. Note that, for these procedures, the random-effects specification is an integral part
of the model, affecting how both random and fixed effects are fit; for PROC GLM, the random effects are
treated in a post hoc fashion after the complete fixed-effect model is fit. This distinction affects other features
in the GLM procedure, such as the results of the LSMEANS and ESTIMATE statements. These features
assume that all effects are fixed, so that all tests and estimability checks for these statements are based on a
fixed-effects model, even when you use a RANDOM statement. Standard errors for estimates and LS-means
based on the fixed-effects model might be significantly smaller than those based on a true random-effects
model; in fact, some functions that are estimable under a true random-effects model might not even be
estimable under the fixed-effects model. Therefore, you should use the MIXED procedure to compute tests
involving these features that take the random effects into account; see Chapter 84, “The MIXED Procedure,”
for more information.
Note that, for balanced data, the test statistics computed when you specify the TEST option in the RANDOM
statement have an exact F distribution only when the design is balanced; for unbalanced designs, the p values
for the F tests are approximate. For balanced data, the values obtained by PROC GLM and PROC MIXED
agree; for unbalanced data, they usually do not.

Computation of Expected Mean Squares for Random Effects

The RANDOM statement in PROC GLM declares one or more effects in the model to be random rather than
fixed. By default, PROC GLM displays the coefficients of the expected mean squares for all terms in the
model. In addition, when you specify the TEST option in the RANDOM statement, the procedure determines
what tests are appropriate and provides F ratios and probabilities for these tests.
The expected mean squares are computed as follows. Consider the model
Y D X0 ˇ0 C X1 ˇ1 C


C Xk ˇk C 
where ˇ0 represents the fixed effects and ˇ1 ; ˇ2 ; : : : ;  represent the random effects. Random effects
are assumed to be normally and independently distributed. For any L in the row space of X D
.X0 j X1 j X2 j


j Xk /, the expected value of the sum of squares for Lˇ is
E.SSL / D ˇ00 C00 C0 ˇ0 C SSQ.C1 /12 C SSQ.C2 /22 C


C SSQ.Ck /k2 C rank.L/2
where C is of the same dimensions as L and is partitioned as the X matrix. In other words,
C D .C0 j C1 j


j Ck /
Furthermore, C D ML, where M is the inverse of the lower triangular Cholesky decomposition matrix of
L.X0 X/ L0 . SSQ(A) is defined as tr.A0 A/.
For the model in the following MODEL statement
4146 F Chapter 53: The GLM Procedure

model Y=A B(A) C A*C;

random B(A);
with B(A) declared as random, the expected mean square of each effect is displayed as

Var(Error) C constant  Var.B.A// C Q.A; C; A  C/

If any fixed effects appear in the expected mean square of an effect, the letter Q followed by the list of fixed
effects in the expected value is displayed. The actual numeric values of the quadratic form (Q matrix) can be
displayed using the Q option.
To determine appropriate means squares for testing the effects in the model, the TEST option in the RANDOM
statement performs the following steps:

1. First, it forms a matrix of coefficients of the expected mean squares of those effects that were declared
to be random.

2. Next, for each effect in the model, it determines the combination of these expected mean squares that
produce an expectation that includes all the terms in the expected mean square of the effect of interest
except the one corresponding to the effect of interest. For example, if the expected mean square of an
effect A*B is

Var(Error) C 3  Var.A/ C Var.A  B/

PROC GLM determines the combination of other expected mean squares in the model that has
expectation

Var(Error) C 3  Var.A/

3. If the preceding criterion is met by the expected mean square of a single effect in the model (as is often
the case in balanced designs), the F test is formed directly. In this case, the mean square of the effect
of interest is used as the numerator, the mean square of the single effect with an expected mean square
that satisfies the criterion is used as the denominator, and the degrees of freedom for the test are simply
the usual model degrees of freedom.

4. When more than one mean square must be combined to achieve the appropriate expectation, an
approximation is employed to determine the appropriate degrees of freedom (Satterthwaite 1946).
When effects other than the effect of interest are listed after the Q in the output, tests of hypotheses
involving the effect of interest are not valid unless all other fixed effects involved in it are assumed to
be zero. When tests such as these are performed by using the TEST option in the RANDOM statement,
a note is displayed reminding you that further assumptions are necessary for the validity of these
tests. Remember that although the tests are not valid unless these assumptions are made, this does
not provide a basis for these assumptions to be true. The particulars of a given experiment must be
examined to determine whether the assumption is reasonable.

For further theoretical discussion, see Goodnight and Speed (1978), Milliken and Johnson (1984, Chapters
22 and 23), and Hocking (1985).
 Random-Effects Analysis F 4147

Sum-to-Zero Assumptions
The formulation and parameterization of the expected mean squares for random effects in mixed models are
ongoing items of controversy in the statistical literature. Confusion arises over whether or not to assume that
terms involving fixed effects sum to zero. Cornfield and Tukey (1956); Winer (1971), and others assume that
they do sum to zero; Searle (1971); Hocking (1973), and others (including PROC GLM) do not.
Different assumptions about these sum-to-zero constraints can lead to different expected mean squares for
certain terms, and hence to different F and p values.
For arguments in favor of not assuming that terms involving fixed effects sum to zero, see Section 9.7 of
Searle (1971) and Sections 1 and 4 of McLean, Sanders, and Stroup (1991). Other references are Hartley and
Searle (1969) and Searle, Casella, and McCulloch (1992).

Computing Type I, II, and IV Expected Mean Squares

When you use the RANDOM statement, by default the GLM procedure produces the Type III expected mean
squares for model effects and for contrasts specified before the RANDOM statement. In order to obtain
expected values for other types of mean squares, you need to specify which types of mean squares are of
interest in the MODEL statement. For example, in order to obtain the Type IV expected mean squares for
effects in the RANDOM and CONTRAST statements, specify the SS4 option in the MODEL statement. If
you want both Type III and Type IV expected mean squares, specify both the SS3 and SS4 options in the
MODEL statement. Since the estimable function basis is not automatically calculated for Type I and Type II
SS, the E1 (for Type I) or E2 (for Type II) option must be specified in the MODEL statement in order for the
RANDOM statement to produce the expected mean squares for the Type I or Type II sums of squares. Note
that it is important to list the fixed effects first in the MODEL statement when requesting the Type I expected
mean squares.
For example, suppose you have a two-way design with factors A and B in which the main effect for B and
the interaction are random. In order to compute the Type III expected mean squares (in addition to the
fixed-effect analysis), you can use the following statements:

proc glm;
class A B;
model Y = A B A*B;
random B A*B;
run;
Suppose you use the SS4 option in the MODEL statement, as follows:

proc glm;
class A B;
model Y = A B A*B / ss4;
random B A*B;
run;
Then only the Type IV expected mean squares are computed (as well as the Type IV fixed-effect tests). For
the Type I expected mean squares, you can use the following statements:

proc glm;
class A B;
model Y = A B A*B / e1;
random B A*B;
4148 F Chapter 53: The GLM Procedure

run;
For each of these cases, in order to perform random-effect analysis of variance tests for each effect specified
in the model, you need to specify the TEST option in the RANDOM statement, as follows:

proc glm;
class A B;
model Y = A B A*B;
random B A*B / test;
run;
The GLM procedure automatically determines the appropriate error term for each test, based on the expected
mean squares.

Missing Values
For an analysis involving one dependent variable, PROC GLM uses an observation if values are nonmissing
for that dependent variable and all the independent variables.
For an analysis involving multiple dependent variables without the MANOVA or REPEATED statement, or
without the MANOVA option in the PROC GLM statement, a missing value in one dependent variable does
not eliminate the observation from the analysis of other nonmissing dependent variables. On the other hand,
for an analysis with the MANOVA or REPEATED statement, or with the MANOVA option in the PROC
GLM statement, PROC GLM uses an observation if values are nonmissing for all dependent variables and all
the variables used in independent effects.
During processing, the GLM procedure groups the dependent variables by their pattern of missing values
across observations so that sums and crossproducts can be collected in the most efficient manner.
If your data have different patterns of missing values among the dependent variables, interactivity is disabled.
This can occur when some of the variables in your data set have missing values and either of the following
conditions obtain:

 You do not use the MANOVA option in the PROC GLM statement.

 You do not use a MANOVA or REPEATED statement before the first RUN statement.

Note that the REG procedure handles missing values differently in this case; see Chapter 105, “The REG
Procedure,” for more information.
 Computational Resources F 4149

Computational Resources
Memory
For large problems, most of the memory resources are required for holding the X0 X matrix of the sums
and crossproducts. The section “Parameterization of PROC GLM Models” on page 4098 describes how
columns of the X matrix are allocated for various types of effects. For each level that occurs in the data for a
combination of classification variables in a given effect, a row and a column for X0 X are needed.
The following example illustrates the calculation. Suppose A has 20 levels, B has 4 levels, and C has 3 levels.
Then consider the model

proc glm;
class A B C;
model Y1 Y2 Y3=A B A*B C A*C B*C A*B*C X1 X2;
run;
The X0 X matrix (bordered by X0 Y and Y0 Y) can have as many as 425 rows and columns:

1 for the intercept term

20 for A
4 for B
80 for A  B
3 for C
60 for A  C
12 for B  C
240 for A  B  C
2 for X1 and X2 (continuous variables)
3 for Y1; Y2; and Y3 (dependent variables)

The matrix has 425 rows and columns only if all combinations of levels occur for each effect in the model.
For m rows and columns, 8m2 bytes are needed for crossproducts. In this case, 8
4252 D 1,445,000 bytes,
or about 1,445,000=1,024 1:4M .
The required memory grows as the square of the number of columns of X; most of the memory is for the
A*B*C interaction. Without A*B*C, you have 185 columns and need 268K for X0 X. Without either A*B*C
or A*B, you need 86K. If A is recoded to have 10 levels, then the full model has only 220 columns and
requires 378K.
The second time that a large amount of memory is needed is when Type III, Type IV, or contrast sums of
squares are being calculated. This memory requirement is a function of the number of degrees of freedom of
the model being analyzed and the maximum degrees of freedom for any single source. Let Rank equal the
sum of the model degrees of freedom, MaxDF be the maximum number of degrees of freedom for any single
source, and Ny be the number of dependent variables in the model. Then the memory requirement in bytes is
4150 F Chapter 53: The GLM Procedure

8 times

Ny  Rank C .Rank  .Rank C 1// =2

C MaxDF  Rank
C .MaxDF  .MaxDF C 1// =2
C MaxDF  Ny

The first two components of this formula are for the estimable model coefficients and their variance; the rest
correspond to L, L.X0 X/ L0 , and Lb in the computation of SS.Lˇ D 0/ D .Lb/0 .L.X0 X/ L0 / 1 .Lb/. If
the operating system enables SAS to run parallel computational threads on multiple CPUs, then GLM will
attempt to allocate another 8  Rank  Rank bytes in order to perform these calculations in parallel. If this
much memory is not available, then the estimability calculations are performed in a single thread.
Unfortunately, these quantities are not available when the X0 X matrix is being constructed, so PROC GLM
might occasionally request additional memory even after you have increased the memory allocation available
to the program.
If you have a large model that exceeds the memory capacity of your computer, these are your options:

 Eliminate terms, especially high-level interactions.

 Reduce the number of levels for variables with many levels.

 Use the ABSORB statement for parts of the model that are large.

 Use the REPEATED statement for repeated measures variables.

 Use PROC ANOVA or PROC REG rather than PROC GLM, if your design allows.

A related limitation is that for any model effect involving classification variables (interactions as well as main
effects), the number of levels cannot exceed 32,767. This is because GLM internally indexes effect levels
with signed short (16-bit) integers, for which the maximum value is 215 1 D 32,767.

CPU Time
Typically, if the GLM procedure requires a lot of CPU time, it will be for one of several reasons. Suppose that
the input data has n rows (observations) and the model has E effects that together produce a design matrix
X with m columns. Then if m or n is relatively large, the procedure might spend a lot of time in any of the
following areas:

 collecting the sums of squares and crossproducts

 solving the normal equations

 computing the Type III tests

 Computational Method F 4151

The time required for collecting sums and crossproducts is difficult to calculate because it is a complicated
function of the model. The worst case occurs if all columns are continuous variables, involving nm2 =2
multiplications and additions. If the columns are levels of a classification, then only m sums might be
needed, but a significant amount of time might be spent in look-up operations. Solving the normal equations
requires time for approximately m3 =2 multiplications and additions, and the number of operations required
to compute the Type III tests is also proportional to both E and m3 .
Suppose that you know that Type IV sums of squares are appropriate for the model you are analyzing (for
example, if your design has no missing cells). You can specify the SS4 option in your MODEL statement,
which saves CPU time by requesting the Type IV sums of squares instead of the more computationally
burdensome Type III sums of squares. This proves especially useful if you have a factor in your model that
has many levels and is involved in several interactions.
If the operating system enables SAS to run parallel computational threads on multiple CPUs, then both the
solution of the normal equations and the computation of Type III tests can take advantage of this to reduce the
computational time for large models. In solving the normal equations, the fundamental row sweep operations
(Goodnight 1979) are performed in parallel. In computing the Type III tests, both the orthogonalization
for the estimable functions and the sums of squares calculation have been parallelized (if there is sufficient
memory).
The reduction in computational time due to parallel processing depends on the size of the model, the number
of processors, and the parallel architecture of the operating system. If the model is large enough that the
overwhelming proportion of CPU time for the procedure is accounted for in solving the normal equations
and/or computing the Type III tests, then you can expect a reduction in computational time approximately
inversely proportional to the number of CPUs. However, as you increase the number of processors, the
efficiency of this scaling can be reduced by several effects. One mitigating factor is a purely mathematical one
known as “Amdahl’s law,” which is related to the fact that only part of the processing time for the procedure
can be parallelized. Even taking Amdahl’s law into account, the parallelization efficiency can be reduced
by cache effects related to how fast the multiple processors can access memory. See Cohen (2002) for a
discussion of these issues. For additional information about parallel processing in SAS, see the chapter on
“Support for Parallel Processing” in SAS Programmers Guide: Essentials.

Computational Method
Let X represent the n  p design matrix and Y the n  1 vector of dependent variables. (See the section
“Parameterization of PROC GLM Models” on page 4098 for information about how X is formed from your
model specification.)
The normal equations X0 Xˇ D X0 Y are solved using a modified sweep routine that produces a generalized
inverse .X0 X/ and a solution b D .X0 X/ X0 y. The modification is that rows and columns corresponding to
diagonal elements that are found during sweeping to be zero (or within the expected level of numerical error
of zero) are zeroed out. The .X0 X/ produced by this procedure satisfies the following two equations:

.X0 X/ .X0 X/ .X0 X/ D .X0 X/

.X0 X/ .X0 X/ .X0 X/ D .X0 X/

Pringle and Rayner (1971) call a generalized inverse with these characteristics a g2 -inverse, and this is the
term usually used in SAS documentation and output. Urquhart (1968) uses the term reflexive g-inverse to
4152 F Chapter 53: The GLM Procedure

emphasize that .X0 X/ is a generalized inverse of X0 X in the same way that X0 X is a generalized inverse of
.X0 X/ . Note that a g2 -inverse is not necessarily unique: if X0 X is singular, then sweeping the matrix in a
different order will result in a different g2 -inverse that also satisfies the two preceding equations.
For each effect in the model, a matrix L is computed such that the rows of L are estimable. Tests of the
hypothesis Lˇ D 0 are then made by first computing

SS.Lˇ D 0/ D .Lb/0 .L.X0 X/ L0 / 1

.Lb/

and then computing the associated F value by using the mean squared error.

Output Data Sets

OUT= Data Set Created by the OUTPUT Statement
The OUTPUT statement produces an output data set that contains the following:

 all original data from the SAS data set input to PROC GLM

 the new variables corresponding to the diagnostic measures specified with statistics keywords in the
OUTPUT statement (PREDICTED=, RESIDUAL=, and so on)

With multiple dependent variables, a name can be specified for any of the diagnostic measures for each of the
dependent variables in the order in which they occur in the MODEL statement.
For example, suppose that the input data set A contains the variables y1, y2, y3, x1, and x2. Then you can use
the following statements:

proc glm data=A;

model y1 y2 y3=x1;
output out=out p=y1hat y2hat y3hat
r=y1resid lclm=y1lcl uclm=y1ucl;
run;
The output data set out contains y1, y2, y3, x1, x2, y1hat, y2hat, y3hat, y1resid, y1lcl, and y1ucl. The variable
x2 is output even though it is not used by PROC GLM. Although predicted values are generated for all three
dependent variables, residuals are output for only the first dependent variable.
When any independent variable in the analysis (including all class variables) is missing for an observation,
then all new variables that correspond to diagnostic measures are missing for the observation in the output
data set.
When a dependent variable in the analysis is missing for an observation, then some new variables that
correspond to diagnostic measures are missing for the observation in the output data set, and some are
still available. Specifically, in this case, the new variables that correspond to COOKD, COVRATIO,
DFFITS, PRESS, R, RSTUDENT, STDR, and STUDENT are missing in the output data set. The variables
corresponding to H, LCL, LCLM, P, STDI, STDP, UCL, and UCLM are not missing.
 Output Data Sets F 4153

OUT= Data Set Created by the LSMEANS Statement

The OUT= option in the LSMEANS statement produces an output data set that contains the following:

 the unformatted values of each classification variable specified in any effect in the LSMEANS statement

 a new variable, LSMEAN, which contains the LS-mean for the specified levels of the classification
variables

 a new variable, STDERR, which contains the standard error of the LS-mean

The variances and covariances among the LS-means are also output when the COV option is specified along
with the OUT= option. In this case, only one effect can be specified in the LSMEANS statement, and the
following variables are included in the output data set:

 new variables, COV1, COV2, . . . , COVn, where n is the number of levels of the effect specified in
the LSMEANS statement. These variables contain the covariances of each LS-mean with every other
LS-mean.

 a new variable, NUMBER, which provides an index for each observation to identify the covariances
that correspond to that observation. The covariances for the observation with NUMBER equal to n can
be found in the variable COVn.

OUTSTAT= Data Set

The OUTSTAT= option in the PROC GLM statement produces an output data set that contains the following:

 the BY variables, if any

 _TYPE_, a new character variable. _TYPE_ can take the values ‘SS1’, ‘SS2’, ‘SS3’, ‘SS4’, or ‘CON-
TRAST’, corresponding to the various types of sums of squares generated, or the values ‘CANCORR’,
‘STRUCTUR’, or ‘SCORE’, if a canonical analysis is performed through the MANOVA statement and
no M= matrix is specified.

 _SOURCE_, a new character variable. For each observation in the data set, _SOURCE_ contains the
name of the model effect or contrast label from which the corresponding statistics are generated.

 _NAME_, a new character variable. For each observation in the data set, _NAME_ contains the name
of one of the dependent variables in the model or, in the case of canonical statistics, the name of one of
the canonical variables (CAN1, CAN2, and so forth).

 four new numeric variables: SS, DF, F, and PROB, containing sums of squares, degrees of freedom,
F values, and probabilities, respectively, for each model or contrast sum of squares generated in the
analysis. For observations resulting from canonical analyses, these variables have missing values.

 if there is more than one dependent variable, then variables with the same names as the dependent
variables represent the following:

– for _TYPE_=SS1, SS2, SS3, SS4, or CONTRAST, the crossproducts of the hypothesis matrices
4154 F Chapter 53: The GLM Procedure

– for _TYPE_=CANCORR, canonical correlations for each variable

– for _TYPE_=STRUCTUR, coefficients of the total structure matrix
– for _TYPE_=SCORE, raw canonical score coefficients

The output data set can be used to perform special hypothesis tests (for example, with the IML procedure in
SAS/IML software), to reformat output, to produce canonical variates (through the SCORE procedure), or to
rotate structure matrices (through the FACTOR procedure).

Displayed Output
The GLM procedure produces the following output by default:

 The overall analysis-of-variance table breaks down the Total Sum of Squares for the dependent variable
into the portion attributed to the Model and the portion attributed to Error.

 The Mean Square term is the Sum of Squares divided by the degrees of freedom (DF).

 The Mean Square for Error is an estimate of  2 , the variance of the true errors.

 The F Value is the ratio produced by dividing the Mean Square for the Model by the Mean Square
for Error. It tests how well the model as a whole (adjusted for the mean) accounts for the dependent
variable’s behavior. An F test is a joint test to determine that all parameters except the intercept are
zero.

 A small significance probability, Pr > F, indicates that some linear function of the parameters is
significantly different from zero.

 R-Square, R2 , measures how much variation in the dependent variable can be accounted for by the
model. R square, which can range from 0 to 1, is the ratio of the sum of squares for the model to the
corrected total sum of squares. In general, the larger the value of R square, the better the model’s fit.

 Coeff Var, the coefficient of variation, which describes the amount of variation in the population, is 100
times the standard deviation estimate of the dependent variable, Root MSE (Mean Square for Error),
divided by the Mean. The coefficient of variation is often a preferred measure because it is unitless.

 Root MSE estimates the standard deviation of the dependent variable (or equivalently, the error term)
and equals the square root of the Mean Square for Error.

 Mean is the sample mean of the dependent variable.

These tests are used primarily in analysis-of-variance applications:

 The Type I SS (sum of squares) measures incremental sums of squares for the model as each variable
is added.

 The Type III SS is the sum of squares for a balanced test of each effect, adjusted for every other effect.

These items are used primarily in regression applications:

 ODS Table Names F 4155

 The Estimates for the model Parameters (the intercept and the coefficients)

 t Value is the Student’s t value for testing the null hypothesis that the parameter (if it is estimable)
equals zero.

 The significance level, Pr > |t|, is the probability of getting a larger value of t if the parameter is truly
equal to zero. A very small value for this probability leads to the conclusion that the independent
variable contributes significantly to the model.

 The Standard Error is the square root of the estimated variance of the estimate of the true value of the
parameter.

Other portions of output are discussed in the following examples.

ODS Table Names

PROC GLM assigns a name to each table it creates. You can use these names to reference the table when
using the Output Delivery System (ODS) to select tables and create output data sets. These names are listed
in Table 53.15. For more information about ODS, see Chapter 23, “Using the Output Delivery System.”

Table 53.15 ODS Tables Produced by PROC GLM

ODS Table Name Description Statement / Option

Aliasing Type 1,2,3,4 aliasing structure MODEL / (E1 E2 E3 or E4) and
ALIASING
AltErrContrasts ANOVA table for contrasts with CONTRAST / E=
alternative error
AltErrTests ANOVA table for tests with TEST / E=
alternative error
Bartlett Bartlett’s homogeneity of MEANS / HOVTEST=BARTLETT
variance test
CanAnalysis Canonical analysis (MANOVA or REPEATED)
/ CANONICAL
CanCoef Canonical coefficients (MANOVA or REPEATED)
/ CANONICAL
CanStructure Canonical structure (MANOVA or REPEATED)
/ CANONICAL
CharStruct Characteristic roots and vectors (MANOVA / not CANONICAL) or
(REPEATED / PRINTRV)
ClassLevels Classification variable levels CLASS statement
CLDiffs Multiple comparisons of pairwise MEANS / CLDIFF or DUNNETT or
differences (Unequal cells and not LINES)
CLDiffsInfo Information for multiple MEANS / CLDIFF or DUNNETT or
comparisons of pairwise (Unequal cells and not LINES)
differences
4156 F Chapter 53: The GLM Procedure

Table 53.15 continued

ODS Table Name Description Statement / Option

CLMeans Multiple comparisons of means MEANS / CLM
with confidence/comparison
interval
CLMeansInfo Information for multiple MEANS / CLM
comparison of means with
confidence/comparison interval
ContrastCoef L matrix for contrast or estimate CONTRAST / E or ESTIMATE / E
Contrasts ANOVA table for contrasts CONTRAST statement
DependentInfo Simultaneously analyzed Default when there are multiple
dependent variables dependent variables with different
patterns of missing values
Diff PDiff matrix of least squares LSMEANS / PDIFF=ALL and
means more than two LS-means
Epsilons Greenhouse-Geisser and REPEATED statement
Huynh-Feldt epsilons
ErrorSSCP Error SSCP matrix (MANOVA or REPEATED)
/ PRINTE
EstFunc Type 1,2,3,4 estimable functions MODEL / (E1 E2 E3 or E4)
Estimates Estimate statement results ESTIMATE statement
ExpectedMeanSquares Expected mean squares RANDOM statement
FitStatistics R-Square, Coeff Var, Root MSE, Default
and dependent mean
GAliasing General form of aliasing MODEL / E and ALIASING
structure
GEstFunc General form of estimable MODEL / E
functions
HOVFTest Homogeneity of variance MEANS / HOVTEST
ANOVA
HypothesisSSCP Hypothesis SSCP matrix (MANOVA or REPEATED)
/ PRINTH
InvXPX inv(X0 X) matrix MODEL / INVERSE
LSMeanCL Confidence interval for LSMEANS / CL
LS-means
LSMeanCoef Coefficients of least squares LSMEANS / E
means
LSMeanDiffCL Confidence interval for LS-mean LSMEANS / PDIFF and CL
differences
LSMeans Least squares means LSMEANS statement
LSMLines Least squares means comparison LSMEANS / PDIFF=ALL LINES
lines
MANOVATransform Multivariate transformation MANOVA / M=
matrix
MatrixRepresentation X matrix element As needed for other options
representation
 ODS Table Names F 4157

Table 53.15 continued

ODS Table Name Description Statement / Option

MCLines Multiple comparisons LINES MEANS / LINES or ((DUNCAN or
output WALLER or SNK or REGWQ) and
not (CLDIFF or CLM))
or (Equal cells and not CLDIFF)
MCLinesInfo Information for multiple MEANS / LINES or ((DUNCAN or
comparison LINES output WALLER or SNK or REGWQ) and
not (CLDIFF or CLM))
or (Equal cells and not CLDIFF)
MCLinesRange Ranges for multiple range MC MEANS / LINES or ((DUNCAN or
tests WALLER or SNK or REGWQ) and
not (CLDIFF or CLM))
or (Equal cells and not CLDIFF)
Means Group means MEANS statement
ModelANOVA ANOVA for model terms Default
MultStat Multivariate tests MANOVA statement
NObs Number of observations Default
OverallANOVA Overall ANOVA Default
OverallEffectSize Effect size measures for overall MODEL / EFFECTSIZE
ANOVA
ParameterEstimates Estimated linear model MODEL / SOLUTION
coefficients
PartialCorr Partial correlation matrix (MANOVA or REPEATED)
/ PRINTE
PredictedInfo Predicted values info MODEL / P or CLM or CLI
PredictedValues Predicted values MODEL / P or CLM or CLI
QForm Quadratic form for expected RANDOM / Q
mean squares
RandomModelANOVA Random-effect tests RANDOM / TEST
RepeatedLevelInfo Correspondence between REPEATED statement
dependents and repeated
measures levels
RepeatedTransform Repeated measures REPEATED / PRINTM
transformation matrix
SimDetails Details of difference quantile LSMEANS
simulation / ADJUST=SIMULATE(REPORT)
SimResults Evaluation of difference quantile LSMEANS
simulation / ADJUST=SIMULATE(REPORT)
SlicedANOVA Sliced-effect ANOVA table LSMEANS / SLICE
Sphericity Sphericity tests REPEATED / PRINTE
Tests Summary ANOVA for specified MANOVA / H= SUMMARY
MANOVA H= effects
Tolerances X0 X tolerances MODEL / TOLERANCE
Welch Welch’s ANOVA MEANS / WELCH
XPX X0 X matrix MODEL / XPX
4158 F Chapter 53: The GLM Procedure

With the PDIFF or TDIFF option in the LSMEANS statement, the p/t-values for differences are dis-
played in columns of the LSMeans table for PDIFF/TDIFF=CONTROL or PDIFF/TDIFF=ANOM, and for
PDIFF/TDIFF=ALL when there are only two LS-means. Otherwise (for PDIFF/TDIFF=ALL when there are
more than two LS-means), the p/t-values for differences are displayed in a separate table called Diff.

ODS Graphics
Statistical procedures use ODS Graphics to create graphs as part of their output. ODS Graphics is described
in detail in Chapter 24, “Statistical Graphics Using ODS.”
Before you create graphs, ODS Graphics must be enabled (for example, by specifying the ODS GRAPH-
ICS ON statement). For more information about enabling and disabling ODS Graphics, see the section
“Enabling and Disabling ODS Graphics” on page 663 in Chapter 24, “Statistical Graphics Using ODS.”
The overall appearance of graphs is controlled by ODS styles. Styles and other aspects of using ODS
Graphics are discussed in the section “A Primer on ODS Statistical Graphics” on page 662 in Chapter 24,
“Statistical Graphics Using ODS.”
When ODS Graphics is enabled, then for particular models the GLM procedure produces default graphics as
follows:

 If you specify a one-way analysis of variance model, with just one CLASS variable, the GLM procedure
produces a grouped box plot of the response values versus the CLASS levels. For an example of the
box plot, see the section “One-Way Layout with Means Comparisons” on page 1095 in Chapter 29,
“The ANOVA Procedure.” Outliers are labeled by the observation number within the entire data set,
including observations that are not used in the analysis. Therefore, the labels of the outliers in this box
plot might differ from those in the box plot that is produced by the MEANS statement.

 If you specify a two-way analysis of variance model, with just two CLASS variables, the GLM
procedure produces an interaction plot of the response values, with horizontal position representing one
CLASS variable and marker style representing the other, and with predicted response values connected
by lines that represent the two-way analysis. For an example of the interaction plot, see the section
“PROC GLM for Unbalanced ANOVA” on page 4035.

 If you specify a model that has two CLASS variables, and one variable is nested within the other,
then the GLM procedure produces a nested box plot of the response values, where horizontal position
represents one CLASS variable nested within the other CLASS variable.

 If you specify a model that has a single continuous predictor, the GLM procedure produces a fit plot of
the response values versus the covariate values, with a curve representing the fitted relationship. For
an example of the fit plot, see the section “PROC GLM for Quadratic Least Squares Regression” on
page 4038.

 If you specify a model that has a two continuous predictors and no CLASS variables, the GLM
procedure produces a panel of fit plots as in the single predictor case, with a plot of the response values
versus one of the covariates at each of several values of the other covariate.

 If you specify an analysis of covariance model that has one or two CLASS variables and one continuous
variable, the GLM procedure produces an analysis-of-covariance plot of the response values versus the
 ODS Graphics F 4159

covariate values, with lines representing the fitted relationship within each classification level. For an
example of the analysis of covariance plot, see Example 53.4.

 If you specify an LSMEANS statement with the PDIFF option, the GLM procedure produces a plot
appropriate for the type of LS-means comparison. For PDIFF=ALL (which is the default if you specify
only PDIFF), the procedure produces a diffogram, which displays all pairwise LS-means differences
and their significance. The display is also known as a “mean-mean scatter plot” (Hsu 1996). For
PDIFF=CONTROL, the procedure produces a display of each noncontrol LS-mean compared to the
control LS-mean, with two-sided confidence intervals for the comparison. For PDIFF=CONTROLL
and PDIFF=CONTROLU, a similar display is produced, but with one-sided confidence intervals.
Finally, for the PDIFF=ANOM option, the procedure produces an analysis-of-means plot, which
compares each LS-mean to the average LS-mean.

 If you specify a MEANS statement, the GLM procedure produces a grouped box plot of the response
values versus the effect for which means are being calculated. Outliers are labeled by the observation
number within only the data that have no missing values, thus excluding observations that are not used
in the analysis. Therefore, the labels of the outliers in this plot might differ from the labels of outliers
in the box plot that is the default for one-way models.

In addition to the default graphics mentioned previously, you can request plots that help you diagnose the
quality of the fitted model.

 The PLOTS=DIAGNOSTICS option in the PROC GLM statement requests that a panel of summary
diagnostics for the fit be displayed. The panel displays scatter plots of residuals, absolute residuals,
studentized residuals, and observed responses by predicted values; studentized residuals by leverage;
Cook’s D by observation; a Q-Q plot of residuals; a residual histogram; and a residual-fit spread plot.

 The PLOTS=RESIDUALS option in the PROC GLM statement requests scatter plots of the residuals
against each continuous covariate.

ODS Graph Names

PROC GLM assigns a name to each graph that it creates using ODS. You can use these names to refer to the
graphs when you use ODS. The names are listed in Table 53.16.
ODS Graphics must be enabled before requesting plots. For more information about ODS Graphics, see
Chapter 24, “Statistical Graphics Using ODS.”

Table 53.16 Graphs Produced by PROC GLM

ODS Graph Name Plot Description Option

ANCOVAPlot Analysis-of-covariance plot Analysis-of-covariance model
ANOMPlot Plot of LS-mean differences LSMEANS / PDIFF=ANOM
against average LS-mean
BoxPlot Box plot of group means One-way ANOVA model or MEANS
statement
ContourFit Plot of predicted response Two-predictor response surface model
surface
4160 F Chapter 53: The GLM Procedure

Table 53.16 continued

ODS Graph Name Plot Description Option

ControlPlot Plot of LS-mean differences LSMEANS / PDIFF=CONTROL
against a control level
DiagnosticsPanel Panel of summary PLOTS=DIAGNOSTICS
diagnostics for the fit
CooksDPlot Cook’s D plot PLOTS=DIAGNOSTICS(UNPACK)
ObservedByPredicted Observed by predicted PLOTS=DIAGNOSTICS(UNPACK)
QQPlot Residual Q-Q plot PLOTS=DIAGNOSTICS(UNPACK)
ResidualByPredicted Residual by predicted PLOTS=DIAGNOSTICS(UNPACK)
values
ResidualHistogram Residual histogram PLOTS=DIAGNOSTICS(UNPACK)
RFPlot RF plot PLOTS=DIAGNOSTICS(UNPACK)
RStudentByPredicted Studentized residuals by PLOTS=DIAGNOSTICS(UNPACK)
predicted
RStudentByLeverage RStudent by hat diagonals PLOTS=DIAGNOSTICS(UNPACK)
DiffPlot Plot of LS-mean pairwise LSMEANS / PDIFF
differences
FitPlot Plot of predicted response Model with one continuous predictor
by predictor
IntPlot Interaction plot Two-way ANOVA model
LinesPlot Plot of mean or LS-mean Lines comparison options in LSMEANS
comparison lines or MEANS
NestPlot Nested box plot Model in which one classification
predictor is nested within the other
ResidualPlots Plots of the residuals against PLOTS=RESIDUALS
each continuous covariate

Examples: GLM Procedure

Example 53.1: Randomized Complete Blocks with Means Comparisons and

Contrasts
This example, reported by Stenstrom (1940), analyzes an experiment to investigate how snapdragons grow in
various soils. To eliminate the effect of local fertility variations, the experiment is run in blocks, with each
soil type sampled in each block. Since these data are balanced, the Type I and Type III SS are the same and
are equal to the traditional ANOVA SS.
First, the standard analysis is shown, followed by an analysis that uses the SOLUTION option and includes
MEANS and CONTRAST statements. The ORDER=DATA option in the second PROC GLM statement
is used so that the ordering of coefficients in the CONTRAST statement can correspond to the ordering in
the input data. The SOLUTION option requests a display of the parameter estimates, which are produced
 Example 53.1: Randomized Complete Blocks with Means Comparisons and Contrasts F 4161

by default only if there are no CLASS variables. A MEANS statement is used to request a table of the
means with two multiple-comparison procedures requested. In experiments with focused treatment questions,
CONTRAST statements are preferable to general means comparison methods. The following statements
produce Output 53.1.1 through Output 53.1.4.

title 'Balanced Data from Randomized Complete Block';

data plants;
input Type $ @;
do Block = 1 to 3;
input StemLength @;
output;
end;
datalines;
Clarion 32.7 32.3 31.5
Clinton 32.1 29.7 29.1
Knox 35.7 35.9 33.1
O'Neill 36.0 34.2 31.2
Compost 31.8 28.0 29.2
Wabash 38.2 37.8 31.9
Webster 32.5 31.1 29.7
;

proc glm;
class Block Type;
model StemLength = Block Type;
run;

proc glm order=data;

class Block Type;
model StemLength = Block Type / solution;

/*----------------------------------clrn-cltn-knox-onel-cpst-wbsh-wstr */
contrast 'Compost vs. others' Type -1 -1 -1 -1 6 -1 -1;
contrast 'River soils vs. non' Type -1 -1 -1 -1 0 5 -1,
Type -1 4 -1 -1 0 0 -1;
contrast 'Glacial vs. drift' Type -1 0 1 1 0 0 -1;
contrast 'Clarion vs. Webster' Type -1 0 0 0 0 0 1;
contrast "Knox vs. O'Neill" Type 0 0 1 -1 0 0 0;
run;

means Type / waller regwq;

run;

Output 53.1.1 Analysis of Variance for Randomized Complete Blocks

Balanced Data from Randomized Complete Block

The GLM Procedure

Class Level Information

Class Levels Values
Block 3 123
Type 7 Clarion Clinton Compost Knox O'Neill Wabash Webster
4162 F Chapter 53: The GLM Procedure

Output 53.1.1 continued

Number of Observations Read 21

Number of Observations Used 21

Balanced Data from Randomized Complete Block

The GLM Procedure

Dependent Variable: StemLength

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 8 142.1885714 17.7735714 10.80 0.0002
Error 12 19.7428571 1.6452381
Corrected Total 20 161.9314286

R-Square Coeff Var Root MSE StemLength Mean

0.878079 3.939745 1.282668 32.55714

Source DF Type I SS Mean Square F Value Pr > F

Block 2 39.0371429 19.5185714 11.86 0.0014
Type 6 103.1514286 17.1919048 10.45 0.0004

Source DF Type III SS Mean Square F Value Pr > F

Block 2 39.0371429 19.5185714 11.86 0.0014
Type 6 103.1514286 17.1919048 10.45 0.0004

This analysis shows that the stem length is significantly different for the different soil types. In addition,
there are significant differences in stem length among the three blocks in the experiment.
The GLM procedure is invoked again, this time with the ORDER=DATA option. This enables you to write
accurate contrast statements more easily because you know the order SAS is using for the levels of the
variable Type. The standard analysis is displayed again, this time including the tests for contrasts that you
specified as well as the estimated parameters. These additional results are shown in Output 53.1.2.

Output 53.1.2 Contrasts and Solutions

Balanced Data from Randomized Complete Block

The GLM Procedure

Dependent Variable: StemLength

Contrast DF Contrast SS Mean Square F Value Pr > F

Compost vs. others 1 29.24198413 29.24198413 17.77 0.0012
River soils vs. non 2 48.24694444 24.12347222 14.66 0.0006
Glacial vs. drift 1 22.14083333 22.14083333 13.46 0.0032
Clarion vs. Webster 1 1.70666667 1.70666667 1.04 0.3285
Knox vs. O'Neill 1 1.81500000 1.81500000 1.10 0.3143
 Example 53.1: Randomized Complete Blocks with Means Comparisons and Contrasts F 4163

Output 53.1.2 continued

Standard
Parameter Estimate Error t Value Pr > |t|
Intercept 29.35714286 B 0.83970354 34.96 <.0001
Block 1 3.32857143 B 0.68561507 4.85 0.0004
Block 2 1.90000000 B 0.68561507 2.77 0.0169
Block 3 0.00000000 B . . .
Type Clarion 1.06666667 B 1.04729432 1.02 0.3285
Type Clinton -0.80000000 B 1.04729432 -0.76 0.4597
Type Knox 3.80000000 B 1.04729432 3.63 0.0035
Type O'Neill 2.70000000 B 1.04729432 2.58 0.0242
Type Compost -1.43333333 B 1.04729432 -1.37 0.1962
Type Wabash 4.86666667 B 1.04729432 4.65 0.0006
Type Webster 0.00000000 B . . .

Note: The X'X matrix has been found to be singular, and a generalized inverse was used to solve the normal equations. Terms whose
estimates are followed by the letter 'B' are not uniquely estimable.

The contrast label, degrees of freedom, sum of squares, Mean Square, F Value, and Pr > F are shown for
each contrast requested. In this example, the contrast results indicate the following inferences, at the 5%
significance level:

 The stem length of plants grown in compost soil is significantly different from the average stem length
of plants grown in other soils.

 The stem length of plants grown in river soils is significantly different from the average stem length of
those grown in nonriver soils.

 The average stem length of plants grown in glacial soils (Clarion and Webster types) is significantly
different from the average stem length of those grown in drift soils (Knox and O’Neill types).

 Stem lengths for Clarion and Webster types are not significantly different.

 Stem lengths for Knox and O’Neill types are not significantly different.

In addition to the estimates for the parameters of the model, the results of t tests about the parameters are
also displayed. The ‘B’ following the parameter estimates indicates that the estimates are biased and do not
represent a unique solution to the normal equations.
4164 F Chapter 53: The GLM Procedure

Output 53.1.3 Waller-Duncan tests

Balanced Data from Randomized Complete Block

The GLM Procedure

Waller-Duncan K-ratio t Test for StemLength

Note: This test minimizes the Bayes risk under additive loss and certain other assumptions.

Kratio 100
Error Degrees of Freedom 12
Error Mean Square 1.645238
F Value 10.45
Critical Value of t 2.12034
Minimum Significant Difference 2.2206
 Example 53.1: Randomized Complete Blocks with Means Comparisons and Contrasts F 4165

Output 53.1.4 Ryan-Einot-Gabriel-Welsch Multiple Range Test

Balanced Data from Randomized Complete Block

The GLM Procedure

Ryan-Einot-Gabriel-Welsch Multiple Range Test for StemLength

Note: This test controls the Type I experimentwise error rate.

Alpha 0.05
Error Degrees of Freedom 12
Error Mean Square 1.645238

Number of Means 2 3 4 5 6 7
Critical Range 2.9875528 3.2837322 3.4395625 3.5402383 3.5402383 3.6653133

The final two pages of output (Output 53.1.3 and Output 53.1.4) present results of the Waller-Duncan and
REGWQ multiple-comparison procedures. For each test, notes and information pertinent to the test are given
in the output. In the plot of the comparisons, the Type means are arranged from highest to lowest. Means
covered by the same bar are not significantly different. For this example, while some pairs of means are
significantly different, there are no clear equivalence classes among the different soils.
For an alternative method of analyzing and displaying mean differences, see Example 53.3.
4166 F Chapter 53: The GLM Procedure

Example 53.2: Regression with Mileage Data

A car is tested for gas mileage at various speeds to determine at what speed the car achieves the highest gas
mileage. A quadratic model is fit to the experimental data. The following statements produce Output 53.2.1
through Output 53.2.4.

title 'Gasoline Mileage Experiment';

data mileage;
input mph mpg @@;
datalines;
20 15.4
30 20.2
40 25.7
50 26.2 50 26.6 50 27.4
55 .
60 24.8
;

ods graphics on;

proc glm;
model mpg=mph mph*mph / p clm;
run;
ods graphics off;

Output 53.2.1 Standard Regression Analysis

Gasoline Mileage Experiment

The GLM Procedure

Number of Observations Read 8

Number of Observations Used 7

Gasoline Mileage Experiment

The GLM Procedure

Dependent Variable: mpg

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 2 111.8086183 55.9043091 77.96 0.0006
Error 4 2.8685246 0.7171311
Corrected Total 6 114.6771429

R-Square Coeff Var Root MSE mpg Mean

0.974986 3.564553 0.846836 23.75714

Source DF Type I SS Mean Square F Value Pr > F

mph 1 85.64464286 85.64464286 119.43 0.0004
mph*mph 1 26.16397541 26.16397541 36.48 0.0038
 Example 53.2: Regression with Mileage Data F 4167

Output 53.2.1 continued

Source DF Type III SS Mean Square F Value Pr > F

mph 1 41.01171219 41.01171219 57.19 0.0016
mph*mph 1 26.16397541 26.16397541 36.48 0.0038

Standard
Parameter Estimate Error t Value Pr > |t|
Intercept -5.985245902 3.18522249 -1.88 0.1334
mph 1.305245902 0.17259876 7.56 0.0016
mph*mph -0.013098361 0.00216852 -6.04 0.0038

The overall F statistic is significant. The tests of mph and mph*mph in the Type I sums of squares show that
both the linear and quadratic terms in the regression model are significant. The model fits well, with an R
square of 0.97. The table of parameter estimates indicates that the estimated regression equation is

mpg D 5:9852 C 1:3052  mph 0:0131  mph2

Output 53.2.2 Results of Requesting the P and CLM Options

95%
Confidence Limits for
Observation Observed Predicted Residual Mean Predicted Value
1 15.40000000 14.88032787 0.51967213 12.69701317 17.06364257
2 20.20000000 21.38360656 -1.18360656 20.01727192 22.74994119
3 25.70000000 25.26721311 0.43278689 23.87460041 26.65982582
4 26.20000000 26.53114754 -0.33114754 25.44573423 27.61656085
5 26.60000000 26.53114754 0.06885246 25.44573423 27.61656085
6 27.40000000 26.53114754 0.86885246 25.44573423 27.61656085
7 * . 26.18073770 . 24.88679308 27.47468233
8 24.80000000 25.17540984 -0.37540984 23.05954977 27.29126990

The P and CLM options in the MODEL statement produce the table shown in Output 53.2.2. For each
observation, the observed, predicted, and residual values are shown. In addition, the 95% confidence limits
for a mean predicted value are shown for each observation. Note that the observation with a missing value
for mph is not used in the analysis, but predicted and confidence limit values are shown.

Output 53.2.3 Additional Results of Requesting the P and CLM Options

Sum of Residuals -0.00000000

Sum of Squared Residuals 2.86852459
Sum of Squared Residuals - Error SS -0.00000000
PRESS Statistic 23.18107335
First Order Autocorrelation -0.54376613
Durbin-Watson D 2.94425592

The last portion of the output listing, shown in Output 53.2.3, gives some additional information about
the residuals. The Press statistic gives the sum of squares of predicted residual errors, as described in
4168 F Chapter 53: The GLM Procedure

Chapter 5, “Introduction to Regression Procedures.” The First Order Autocorrelation and the Durbin-Watson
D statistic, which measures first-order autocorrelation, are also given.

Output 53.2.4 Plot of Mileage Data

Finally, the ODS GRAPHICS ON command in the previous statements enables ODS Graphics, which in this
case produces the plot shown in Output 53.2.4 of the actual and predicted values for the data, as well as a
band representing the confidence limits for individual predictions. The quadratic relationship between mpg
and mph is evident.
 Example 53.3: Unbalanced ANOVA for Two-Way Design with Interaction F 4169

Example 53.3: Unbalanced ANOVA for Two-Way Design with Interaction

This example uses data from Kutner (1974, p. 98) to illustrate a two-way analysis of variance. The original
data source is Afifi and Azen (1972, p. 166). These statements produce Output 53.3.1 and Output 53.3.2.

title 'Unbalanced Two-Way Analysis of Variance';

data a;
input drug disease @;
do i=1 to 6;
input y @;
output;
end;
datalines;
1 1 42 44 36 13 19 22
1 2 33 . 26 . 33 21
1 3 31 -3 . 25 25 24
2 1 28 . 23 34 42 13
2 2 . 34 33 31 . 36
2 3 3 26 28 32 4 16
3 1 . . 1 29 . 19
3 2 . 11 9 7 1 -6
3 3 21 1 . 9 3 .
4 1 24 . 9 22 -2 15
4 2 27 12 12 -5 16 15
4 3 22 7 25 5 12 .
;

proc glm;
class drug disease;
model y=drug disease drug*disease / ss1 ss2 ss3 ss4;
run;

Output 53.3.1 Classes and Levels for Unbalanced Two-Way Design

Unbalanced Two-Way Analysis of Variance

The GLM Procedure

Class Level
Information
Class Levels Values
drug 4 1234
disease 3 123

Number of Observations Read 72

Number of Observations Used 58
4170 F Chapter 53: The GLM Procedure

Output 53.3.2 Analysis of Variance for Unbalanced Two-Way Design

Unbalanced Two-Way Analysis of Variance

The GLM Procedure

Dependent Variable: y

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 11 4259.338506 387.212591 3.51 0.0013
Error 46 5080.816667 110.452536
Corrected Total 57 9340.155172

R-Square Coeff Var Root MSE y Mean

0.456024 55.66750 10.50964 18.87931

Source DF Type I SS Mean Square F Value Pr > F

drug 3 3133.238506 1044.412835 9.46 <.0001
disease 2 418.833741 209.416870 1.90 0.1617
drug*disease 6 707.266259 117.877710 1.07 0.3958

Source DF Type II SS Mean Square F Value Pr > F

drug 3 3063.432863 1021.144288 9.25 <.0001
disease 2 418.833741 209.416870 1.90 0.1617
drug*disease 6 707.266259 117.877710 1.07 0.3958

Source DF Type III SS Mean Square F Value Pr > F

drug 3 2997.471860 999.157287 9.05 <.0001
disease 2 415.873046 207.936523 1.88 0.1637
drug*disease 6 707.266259 117.877710 1.07 0.3958

Source DF Type IV SS Mean Square F Value Pr > F

drug 3 2997.471860 999.157287 9.05 <.0001
disease 2 415.873046 207.936523 1.88 0.1637
drug*disease 6 707.266259 117.877710 1.07 0.3958

Note the differences among the four types of sums of squares. The Type I sum of squares for drug essentially
tests for differences between the expected values of the arithmetic mean response for different drugs,
unadjusted for the effect of disease. By contrast, the Type II sum of squares for drug measures the differences
between arithmetic means for each drug after adjusting for disease. The Type III sum of squares measures
the differences between predicted drug means over a balanced drugdisease population—that is, between the
LS-means for drug. Finally, the Type IV sum of squares is the same as the Type III sum of squares in this
case, since there are data for every drug-by-disease combination.
No matter which sum of squares you prefer to use, this analysis shows a significant difference among the
four drugs, while the disease effect and the drug-by-disease interaction are not significant. As the previous
discussion indicates, Type III sums of squares correspond to differences between LS-means, so you can
follow up the Type III tests with a multiple-comparison analysis of the drug LS-means. Since the GLM
procedure is interactive, you can accomplish this by submitting the following statements after the previous
ones that performed the ANOVA.
 Example 53.3: Unbalanced ANOVA for Two-Way Design with Interaction F 4171

lsmeans drug / pdiff=all adjust=tukey;

run;
Both the LS-means themselves and a matrix of adjusted p-values for pairwise differences between them are
displayed; see Output 53.3.3 and Output 53.3.4.

Output 53.3.3 LS-Means for Unbalanced ANOVA

Unbalanced Two-Way Analysis of Variance

The GLM Procedure

Least Squares Means
Adjustment for Multiple Comparisons: Tukey-Kramer

LSMEAN
drug y LSMEAN Number
1 25.9944444 1
2 26.5555556 2
3 9.7444444 3
4 13.5444444 4

Output 53.3.4 Adjusted p-Values for Pairwise LS-Mean Differences

Least Squares Means for effect drug

Pr > |t| for H0: LSMean(i)=LSMean(j)

Dependent Variable: y
i/j 1 2 3 4
1 0.9989 0.0016 0.0107
2 0.9989 0.0011 0.0071
3 0.0016 0.0011 0.7870
4 0.0107 0.0071 0.7870

The multiple-comparison analysis shows that drugs 1 and 2 have very similar effects, and that drugs 3 and 4
are also insignificantly different from each other. Evidently, the main contribution to the significant drug
effect is the difference between the 1/2 pair and the 3/4 pair.
If ODS Graphics is enabled for the previous analysis, GLM also displays three additional plots by default:

 an interaction plot for the effects of disease and drug

 a mean plot of the drug LS-means

 a plot of the adjusted pairwise differences and their significance levels

The following statements reproduce the previous analysis with ODS Graphics enabled. Additionally, the
PLOTS=MEANPLOT(CL) option specifies that confidence limits for the LS-means should also be displayed
in the mean plot. The graphical results are shown in Output 53.3.5 through Output 53.3.7.
4172 F Chapter 53: The GLM Procedure

ods graphics on;

proc glm plot=meanplot(cl);
class drug disease;
model y=drug disease drug*disease;
lsmeans drug / pdiff=all adjust=tukey;
run;
ods graphics off;

Output 53.3.5 Plot of Response by Drug and Disease

 Example 53.3: Unbalanced ANOVA for Two-Way Design with Interaction F 4173

Output 53.3.6 Plot of Response LS-Means for Drug

4174 F Chapter 53: The GLM Procedure

Output 53.3.7 Plot of Response LS-Mean Differences for Drug

The significance of the drug differences is difficult to discern in the original data, as displayed in Output 53.3.5,
but the plot of just the LS-means and their individual confidence limits in Output 53.3.6 makes it clearer.
Finally, Output 53.3.7 indicates conclusively that the significance of the effect of drug is due to the difference
between the two drug pairs (1, 2) and (3, 4).

Example 53.4: Analysis of Covariance

Analysis of covariance combines some of the features of both regression and analysis of variance. Typically,
a continuous variable (the covariate) is introduced into the model of an analysis-of-variance experiment.
Data in the following example are selected from a larger experiment on the use of drugs in the treatment of
leprosy (Snedecor and Cochran 1967, p. 422).
Variables in the study are as follows:
Drug two antibiotics (A and D) and a control (F)
PreTreatment a pretreatment score of leprosy bacilli
PostTreatment a posttreatment score of leprosy bacilli
 Example 53.4: Analysis of Covariance F 4175

Ten patients are selected for each treatment (Drug), and six sites on each patient are measured for leprosy
bacilli.
The covariate (a pretreatment score) is included in the model for increased precision in determining the effect
of drug treatments on the posttreatment count of bacilli.
The following statements create the data set, perform a parallel-slopes analysis of covariance with PROC
GLM, and compute Drug LS-means. These statements produce Output 53.4.1 and Output 53.4.2.

data DrugTest;
input Drug $ PreTreatment PostTreatment @@;
datalines;
A 11 6 A 8 0 A 5 2 A 14 8 A 19 11
A 6 4 A 10 13 A 6 1 A 11 8 A 3 0
D 6 0 D 6 2 D 7 3 D 8 1 D 18 18
D 8 4 D 19 14 D 8 9 D 5 1 D 15 9
F 16 13 F 13 10 F 11 18 F 9 5 F 21 23
F 16 12 F 12 5 F 12 16 F 7 1 F 12 20
;

proc glm data=DrugTest;

class Drug;
model PostTreatment = Drug PreTreatment / solution;
lsmeans Drug / stderr pdiff cov out=adjmeans;
run;

proc print data=adjmeans;

run;

Output 53.4.1 Classes and Levels

The GLM Procedure

Class Level
Information
Class Levels Values
Drug 3 ADF

Number of Observations Read 30

Number of Observations Used 30

Output 53.4.2 Overall Analysis of Variance

The GLM Procedure

Dependent Variable: PostTreatment

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 3 871.497403 290.499134 18.10 <.0001
Error 26 417.202597 16.046254
Corrected Total 29 1288.700000
4176 F Chapter 53: The GLM Procedure

Output 53.4.2 continued

R-Square Coeff Var Root MSE PostTreatment Mean

0.676261 50.70604 4.005778 7.900000

This model assumes that the slopes relating posttreatment scores to pretreatment scores are parallel for all
drugs. You can check this assumption by including the class-by-covariate interaction, Drug*PreTreatment, in
the model and examining the ANOVA test for the significance of this effect. This extra test is omitted in this
example, but it is insignificant, justifying the equal-slopes assumption.
In Output 53.4.3, the Type I SS for Drug (293.6) gives the between-drug sums of squares that are obtained
for the analysis-of-variance model PostTreatment=Drug. This measures the difference between arithmetic
means of posttreatment scores for different drugs, disregarding the covariate. The Type III SS for Drug
(68.5537) gives the Drug sum of squares adjusted for the covariate. This measures the differences between
Drug LS-means, controlling for the covariate. The Type I test is highly significant (p = 0.001), but the Type
III test is not. This indicates that, while there is a statistically significant difference between the arithmetic
drug means, this difference is reduced to below the level of background noise when you take the pretreatment
scores into account. From the table of parameter estimates, you can derive the least squares predictive
formula model for estimating posttreatment score based on pretreatment score and drug:
8
< . 0:435 C 3:446/ C 0:987
pre; if Drug=A
post D . 0:435 C 3:337/ C 0:987
pre; if Drug=D
0:435 C 0:987
pre; if Drug=F
:

Output 53.4.3 Tests and Parameter Estimates

Source DF Type I SS Mean Square F Value Pr > F

Drug 2 293.6000000 146.8000000 9.15 0.0010
PreTreatment 1 577.8974030 577.8974030 36.01 <.0001

Source DF Type III SS Mean Square F Value Pr > F

Drug 2 68.5537106 34.2768553 2.14 0.1384
PreTreatment 1 577.8974030 577.8974030 36.01 <.0001

Standard
Parameter Estimate Error t Value Pr > |t|
Intercept -0.434671164 B 2.47135356 -0.18 0.8617
Drug A -3.446138280 B 1.88678065 -1.83 0.0793
Drug D -3.337166948 B 1.85386642 -1.80 0.0835
Drug F 0.000000000 B . . .
PreTreatment 0.987183811 0.16449757 6.00 <.0001

Output 53.4.4 displays the LS-means, which are, in a sense, the means adjusted for the covariate. The
STDERR option in the LSMEANS statement causes the standard error of the LS-means and the probability of
getting a larger t value under the hypothesis H0 W LS-mean D 0 to be included in this table as well. Specifying
the PDIFF option causes all probability values for the hypothesis H0 W LS-mean.i / D LS-mean.j / to be
displayed, where the indexes i and j are numbered treatment levels.
 Example 53.4: Analysis of Covariance F 4177

Output 53.4.4 LS-Means

The GLM Procedure
Least Squares Means

PostTreatment Standard LSMEAN

Drug LSMEAN Error Pr > |t| Number
A 6.7149635 1.2884943 <.0001 1
D 6.8239348 1.2724690 <.0001 2
F 10.1611017 1.3159234 <.0001 3

Least Squares Means for effect Drug

Pr > |t| for H0: LSMean(i)=LSMean(j)

Dependent Variable: PostTreatment

i/j 1 2 3
1 0.9521 0.0793
2 0.9521 0.0835
3 0.0793 0.0835

The OUT= and COV options in the LSMEANS statement create a data set of the estimates, their standard
errors, and the variances and covariances of the LS-means, which is displayed in Output 53.4.5.

Output 53.4.5 LS-Means Output Data Set

Obs _NAME_ Drug LSMEAN STDERR NUMBER COV1 COV2 COV3

1 PostTreatment A 6.7150 1.28849 1 1.66022 0.02844 -0.08403
2 PostTreatment D 6.8239 1.27247 2 0.02844 1.61918 -0.04299
3 PostTreatment F 10.1611 1.31592 3 -0.08403 -0.04299 1.73165

The new graphical features of PROC GLM enable you to visualize the fitted analysis of covariance model.
The following statements enable ODS Graphics by specifying the ODS GRAPHICS statement and then fit an
analysis-of-covariance model with LS-means for Drug.

ods graphics on;

proc glm data=DrugTest plot=meanplot(cl);

class Drug;
model PostTreatment = Drug PreTreatment;
lsmeans Drug / pdiff;
run;

ods graphics off;

With graphics enabled, the GLM procedure output includes an analysis-of-covariance plot, as in Output 53.4.6.
The LSMEANS statement produces a plot of the LS-means; the SAS statements previously shown use
the PLOTS=MEANPLOT(CL) option to add confidence limits for the individual LS-means, shown in
Output 53.4.7. If you also specify the PDIFF option in the LSMEANS statement, the output also includes a
plot appropriate for the type of LS-mean differences computed. In this case, the default is to compare all
LS-means with each other pairwise, so the plot is a “diffogram” or “mean-mean scatter plot” (Hsu 1996),
as in Output 53.4.8. For general information about ODS Graphics, see Chapter 24, “Statistical Graphics
Using ODS.” For specific information about the graphics available in the GLM procedure, see the section
4178 F Chapter 53: The GLM Procedure

“ODS Graphics” on page 4158.

Output 53.4.6 Analysis of Covariance Plot of PostTreatment Score by Drug and PreTreatment Score
 Example 53.4: Analysis of Covariance F 4179

Output 53.4.7 LS-Means for PostTreatment Score by Drug

4180 F Chapter 53: The GLM Procedure

Output 53.4.8 Plot of Differences between Drug LS-Means for PostTreatment Scores

The analysis of covariance plot Output 53.4.6 makes it clear that the control (drug F) has higher posttreatment
scores across the range of pretreatment scores, while the fitted models for the two antibiotics (drugs A and D)
nearly coincide. Similarly, while the diffogram Output 53.4.8 indicates that none of the LS-mean differences
are significant at the 5% level, the difference between the LS-means for the two antibiotics is much closer to
zero than the differences between either one and the control.

Example 53.5: Three-Way Analysis of Variance with Contrasts

This example uses data from Cochran and Cox (1957, p. 176) to illustrate the analysis of a three-way factorial
design with replication, including the use of the CONTRAST statement with interactions, the OUTSTAT=
data set, and the SLICE= option in the LSMEANS statement.
The object of the study is to determine the effects of electric current on denervated muscle. The variables are
as follows:

Rep the replicate number, 1 or 2

Time the length of time the current is applied to the muscle, ranging from 1 to 4
 Example 53.5: Three-Way Analysis of Variance with Contrasts F 4181

Current the level of electric current applied, ranging from 1 to 4

Number the number of treatments per day, ranging from 1 to 3
MuscleWeight the weight of the denervated muscle

The following statements produce Output 53.5.1 through Output 53.5.4.

data muscles;
do Rep=1 to 2;
do Time=1 to 4;
do Current=1 to 4;
do Number=1 to 3;
input MuscleWeight @@;
output;
end;
end;
end;
end;
datalines;
72 74 69 61 61 65 62 65 70 85 76 61
67 52 62 60 55 59 64 65 64 67 72 60
57 66 72 72 43 43 63 66 72 56 75 92
57 56 78 60 63 58 61 79 68 73 86 71
46 74 58 60 64 52 71 64 71 53 65 66
44 58 54 57 55 51 62 61 79 60 78 82
53 50 61 56 57 56 56 56 71 56 58 69
46 55 64 56 55 57 64 66 62 59 58 88
;

proc glm outstat=summary;

class Rep Current Time Number;
model MuscleWeight = Rep Current|Time|Number;
contrast 'Time in Current 3'
Time 1 0 0 -1 Current*Time 0 0 0 0 0 0 0 0 1 0 0 -1,
Time 0 1 0 -1 Current*Time 0 0 0 0 0 0 0 0 0 1 0 -1,
Time 0 0 1 -1 Current*Time 0 0 0 0 0 0 0 0 0 0 1 -1;
contrast 'Current 1 versus 2' Current 1 -1;
lsmeans Current*Time / slice=Current;
run;

proc print data=summary;

run;
The first CONTRAST statement examines the effects of Time within level 3 of Current. This is also called the
simple effect of Time within Current*Time. Note that, since there are three degrees of freedom, it is necessary
to specify three rows in the CONTRAST statement, separated by commas. Since the parameterization that
PROC GLM uses is determined in part by the ordering of the variables in the CLASS statement, Current
is specified before Time so that the Time parameters are nested within the Current*Time parameters; thus,
the Current*Time contrast coefficients in each row are simply the Time coefficients of that row within the
appropriate level of Current.
The second CONTRAST statement isolates a single-degree-of-freedom effect corresponding to the difference
between the first two levels of Current. You can use such a contrast in a large experiment where certain
4182 F Chapter 53: The GLM Procedure

preplanned comparisons are important, but you want to take advantage of the additional error degrees of
freedom available when all levels of the factors are considered.
The LSMEANS statement with the SLICE= option is an alternative way to test for the simple effect of Time
within Current*Time. In addition to listing the LS-means for each current strength and length of time, it gives
a table of F tests for differences between the LS-means across Time within each Current level. In some cases,
this can be a way to disentangle a complex interaction.

Output 53.5.1 Overall Analysis

The GLM Procedure

Class Level
Information
Class Levels Values
Rep 2 12
Current 4 1234
Time 4 1234
Number 3 123

Number of Observations Read 96

Number of Observations Used 96

The GLM Procedure

Dependent Variable: MuscleWeight

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 48 5782.916667 120.477431 1.77 0.0261
Error 47 3199.489583 68.074246
Corrected Total 95 8982.406250

R-Square Coeff Var Root MSE MuscleWeight Mean

0.643805 13.05105 8.250712 63.21875

The output, shown in Output 53.5.2 and Output 53.5.3, indicates that the main effects for Rep, Current, and
Number are significant (with p-values of 0.0045, <0.0001, and 0.0461, respectively), but the main effect for
Time is not significant, indicating that, in general, it does not matter how long the current is applied. None
of the interaction terms are significant, nor are the contrasts significant. Notice that the row in the sliced
ANOVA table corresponding to level 3 of current matches the “Time in Current 3” contrast.
 Example 53.5: Three-Way Analysis of Variance with Contrasts F 4183

Output 53.5.2 Individual Effects and Contrasts

Source DF Type I SS Mean Square F Value Pr > F

Rep 1 605.010417 605.010417 8.89 0.0045
Current 3 2145.447917 715.149306 10.51 <.0001
Time 3 223.114583 74.371528 1.09 0.3616
Current*Time 9 298.677083 33.186343 0.49 0.8756
Number 2 447.437500 223.718750 3.29 0.0461
Current*Number 6 644.395833 107.399306 1.58 0.1747
Time*Number 6 367.979167 61.329861 0.90 0.5023
Current*Time*Number 18 1050.854167 58.380787 0.86 0.6276

Source DF Type III SS Mean Square F Value Pr > F

Rep 1 605.010417 605.010417 8.89 0.0045
Current 3 2145.447917 715.149306 10.51 <.0001
Time 3 223.114583 74.371528 1.09 0.3616
Current*Time 9 298.677083 33.186343 0.49 0.8756
Number 2 447.437500 223.718750 3.29 0.0461
Current*Number 6 644.395833 107.399306 1.58 0.1747
Time*Number 6 367.979167 61.329861 0.90 0.5023
Current*Time*Number 18 1050.854167 58.380787 0.86 0.6276

Contrast DF Contrast SS Mean Square F Value Pr > F

Time in Current 3 3 34.83333333 11.61111111 0.17 0.9157
Current 1 versus 2 1 99.18750000 99.18750000 1.46 0.2334

Output 53.5.3 Simple Effects of Time

The GLM Procedure
Least Squares Means

Current*Time Effect Sliced by Current for

MuscleWeight
Sum of
Current DF Squares Mean Square F Value Pr > F
1 3 271.458333 90.486111 1.33 0.2761
2 3 120.666667 40.222222 0.59 0.6241
3 3 34.833333 11.611111 0.17 0.9157
4 3 94.833333 31.611111 0.46 0.7085

The SS, F statistics, and p-values can be stored in an OUTSTAT= data set, as shown in Output 53.5.4.
4184 F Chapter 53: The GLM Procedure

Output 53.5.4 Contents of the OUTSTAT= Data Set

Obs _NAME_ _SOURCE_ _TYPE_ DF SS F PROB

1 MuscleWeight ERROR ERROR 47 3199.49 . .
2 MuscleWeight Rep SS1 1 605.01 8.8875 0.00454
3 MuscleWeight Current SS1 3 2145.45 10.5054 0.00002
4 MuscleWeight Time SS1 3 223.11 1.0925 0.36159
5 MuscleWeight Current*Time SS1 9 298.68 0.4875 0.87562
6 MuscleWeight Number SS1 2 447.44 3.2864 0.04614
7 MuscleWeight Current*Number SS1 6 644.40 1.5777 0.17468
8 MuscleWeight Time*Number SS1 6 367.98 0.9009 0.50231
9 MuscleWeight Current*Time*Number SS1 18 1050.85 0.8576 0.62757
10 MuscleWeight Rep SS3 1 605.01 8.8875 0.00454
11 MuscleWeight Current SS3 3 2145.45 10.5054 0.00002
12 MuscleWeight Time SS3 3 223.11 1.0925 0.36159
13 MuscleWeight Current*Time SS3 9 298.68 0.4875 0.87562
14 MuscleWeight Number SS3 2 447.44 3.2864 0.04614
15 MuscleWeight Current*Number SS3 6 644.40 1.5777 0.17468
16 MuscleWeight Time*Number SS3 6 367.98 0.9009 0.50231
17 MuscleWeight Current*Time*Number SS3 18 1050.85 0.8576 0.62757
18 MuscleWeight Time in Current 3 CONTRAST 3 34.83 0.1706 0.91574
19 MuscleWeight Current 1 versus 2 CONTRAST 1 99.19 1.4570 0.23344

Example 53.6: Multivariate Analysis of Variance

This example employs multivariate analysis of variance (MANOVA) to measure differences in the chemical
characteristics of ancient pottery found at four kiln sites in Great Britain. The data are from Tubb, Parker,
and Nickless (1980), as reported in Hand et al. (1994).
For each of 26 samples of pottery, the percentages of oxides of five metals are measured. The following
statements create the data set and invoke the GLM procedure to perform a one-way MANOVA. Additionally,
it is of interest to know whether the pottery from one site in Wales (Llanederyn) differs from the samples
from other sites; a CONTRAST statement is used to test this hypothesis.

title "Romano-British Pottery";

data pottery;
input Site $12. Al Fe Mg Ca Na;
datalines;
Llanederyn 14.4 7.00 4.30 0.15 0.51
Llanederyn 13.8 7.08 3.43 0.12 0.17
Llanederyn 14.6 7.09 3.88 0.13 0.20
Llanederyn 11.5 6.37 5.64 0.16 0.14
Llanederyn 13.8 7.06 5.34 0.20 0.20
Llanederyn 10.9 6.26 3.47 0.17 0.22
Llanederyn 10.1 4.26 4.26 0.20 0.18
Llanederyn 11.6 5.78 5.91 0.18 0.16
Llanederyn 11.1 5.49 4.52 0.29 0.30
Llanederyn 13.4 6.92 7.23 0.28 0.20
Llanederyn 12.4 6.13 5.69 0.22 0.54
Llanederyn 13.1 6.64 5.51 0.31 0.24
 Example 53.6: Multivariate Analysis of Variance F 4185

Llanederyn 12.7 6.69 4.45 0.20 0.22

Llanederyn 12.5 6.44 3.94 0.22 0.23
Caldicot 11.8 5.44 3.94 0.30 0.04
Caldicot 11.6 5.39 3.77 0.29 0.06
IslandThorns 18.3 1.28 0.67 0.03 0.03
IslandThorns 15.8 2.39 0.63 0.01 0.04
IslandThorns 18.0 1.50 0.67 0.01 0.06
IslandThorns 18.0 1.88 0.68 0.01 0.04
IslandThorns 20.8 1.51 0.72 0.07 0.10
AshleyRails 17.7 1.12 0.56 0.06 0.06
AshleyRails 18.3 1.14 0.67 0.06 0.05
AshleyRails 16.7 0.92 0.53 0.01 0.05
AshleyRails 14.8 2.74 0.67 0.03 0.05
AshleyRails 19.1 1.64 0.60 0.10 0.03
;

proc glm data=pottery;

class Site;
model Al Fe Mg Ca Na = Site;
contrast 'Llanederyn vs. the rest' Site 1 1 1 -3;
manova h=_all_ / printe printh;
run;
After the summary information, displayed in Output 53.6.1, PROC GLM produces the univariate analyses
for each of the dependent variables, as shown in Output 53.6.2 through Output 53.6.6. These analyses show
that sites are significantly different for all oxides individually. You can suppress these univariate analyses by
specifying the NOUNI option in the MODEL statement.

Output 53.6.1 Summary Information about Groups

Romano-British Pottery

The GLM Procedure

Class Level Information

Class Levels Values
Site 4 AshleyRails Caldicot IslandThorns Llanederyn

Number of Observations Read 26

Number of Observations Used 26
4186 F Chapter 53: The GLM Procedure

Output 53.6.2 Univariate Analysis of Variance for Aluminum Oxide

Romano-British Pottery

The GLM Procedure

Dependent Variable: Al

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 3 175.6103187 58.5367729 26.67 <.0001
Error 22 48.2881429 2.1949156
Corrected Total 25 223.8984615

R-Square Coeff Var Root MSE Al Mean

0.784330 10.22284 1.481525 14.49231

Source DF Type I SS Mean Square F Value Pr > F

Site 3 175.6103187 58.5367729 26.67 <.0001

Source DF Type III SS Mean Square F Value Pr > F

Site 3 175.6103187 58.5367729 26.67 <.0001

Contrast DF Contrast SS Mean Square F Value Pr > F

Llanederyn vs. the rest 1 58.58336640 58.58336640 26.69 <.0001

Output 53.6.3 Univariate Analysis of Variance for Iron Oxide

Romano-British Pottery

The GLM Procedure

Dependent Variable: Fe

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 3 134.2216158 44.7405386 89.88 <.0001
Error 22 10.9508457 0.4977657
Corrected Total 25 145.1724615

R-Square Coeff Var Root MSE Fe Mean

0.924567 15.79171 0.705525 4.467692

Source DF Type I SS Mean Square F Value Pr > F

Site 3 134.2216158 44.7405386 89.88 <.0001

Source DF Type III SS Mean Square F Value Pr > F

Site 3 134.2216158 44.7405386 89.88 <.0001

Contrast DF Contrast SS Mean Square F Value Pr > F

Llanederyn vs. the rest 1 71.15144132 71.15144132 142.94 <.0001
 Example 53.6: Multivariate Analysis of Variance F 4187

Output 53.6.4 Univariate Analysis of Variance for Calcium Oxide

Romano-British Pottery

The GLM Procedure

Dependent Variable: Ca

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 3 0.20470275 0.06823425 29.16 <.0001
Error 22 0.05148571 0.00234026
Corrected Total 25 0.25618846

R-Square Coeff Var Root MSE Ca Mean

0.799032 33.01265 0.048376 0.146538

Source DF Type I SS Mean Square F Value Pr > F

Site 3 0.20470275 0.06823425 29.16 <.0001

Source DF Type III SS Mean Square F Value Pr > F

Site 3 0.20470275 0.06823425 29.16 <.0001

Contrast DF Contrast SS Mean Square F Value Pr > F

Llanederyn vs. the rest 1 0.03531688 0.03531688 15.09 0.0008

Output 53.6.5 Univariate Analysis of Variance for Magnesium Oxide

Romano-British Pottery

The GLM Procedure

Dependent Variable: Mg

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 3 103.3505270 34.4501757 49.12 <.0001
Error 22 15.4296114 0.7013460
Corrected Total 25 118.7801385

R-Square Coeff Var Root MSE Mg Mean

0.870099 26.65777 0.837464 3.141538

Source DF Type I SS Mean Square F Value Pr > F

Site 3 103.3505270 34.4501757 49.12 <.0001

Source DF Type III SS Mean Square F Value Pr > F

Site 3 103.3505270 34.4501757 49.12 <.0001

Contrast DF Contrast SS Mean Square F Value Pr > F

Llanederyn vs. the rest 1 56.59349339 56.59349339 80.69 <.0001
4188 F Chapter 53: The GLM Procedure

Output 53.6.6 Univariate Analysis of Variance for Sodium Oxide

Romano-British Pottery

The GLM Procedure

Dependent Variable: Na

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 3 0.25824560 0.08608187 9.50 0.0003
Error 22 0.19929286 0.00905877
Corrected Total 25 0.45753846

R-Square Coeff Var Root MSE Na Mean

0.564424 60.06350 0.095178 0.158462

Source DF Type I SS Mean Square F Value Pr > F

Site 3 0.25824560 0.08608187 9.50 0.0003

Source DF Type III SS Mean Square F Value Pr > F

Site 3 0.25824560 0.08608187 9.50 0.0003

Contrast DF Contrast SS Mean Square F Value Pr > F

Llanederyn vs. the rest 1 0.23344446 0.23344446 25.77 <.0001

The PRINTE option in the MANOVA statement displays the elements of the error matrix, also called the
Error Sums of Squares and Crossproducts matrix. (See Output 53.6.7.) The diagonal elements of this matrix
are the error sums of squares from the corresponding univariate analyses.
The PRINTE option also displays the partial correlation matrix associated with the E matrix. In this example,
none of the oxides are very strongly correlated; the strongest correlation (r = 0.488) is between magnesium
oxide and calcium oxide.
Output 53.6.7 Error SSCP Matrix and Partial Correlations
Romano-British Pottery

The GLM Procedure

Multivariate Analysis of Variance

E = Error SSCP Matrix

Al Fe Mg Ca Na
Al 48.288142857 7.0800714286 0.6080142857 0.1064714286 0.5889571429
Fe 7.0800714286 10.950845714 0.5270571429 -0.155194286 0.0667585714
Mg 0.6080142857 0.5270571429 15.429611429 0.4353771429 0.0276157143
Ca 0.1064714286 -0.155194286 0.4353771429 0.0514857143 0.0100785714
Na 0.5889571429 0.0667585714 0.0276157143 0.0100785714 0.1992928571
 Example 53.6: Multivariate Analysis of Variance F 4189

Output 53.6.7 continued

Partial Correlation Coefficients from the Error SSCP Matrix / Prob > |r|
DF = 22 Al Fe Mg Ca Na
Al 1.000000 0.307889 0.022275 0.067526 0.189853
0.1529 0.9196 0.7595 0.3856
Fe 0.307889 1.000000 0.040547 -0.206685 0.045189
0.1529 0.8543 0.3440 0.8378
Mg 0.022275 0.040547 1.000000 0.488478 0.015748
0.9196 0.8543 0.0180 0.9431
Ca 0.067526 -0.206685 0.488478 1.000000 0.099497
0.7595 0.3440 0.0180 0.6515
Na 0.189853 0.045189 0.015748 0.099497 1.000000
0.3856 0.8378 0.9431 0.6515

The PRINTH option produces the SSCP matrix for the hypotheses being tested (Site and the contrast); see
Output 53.6.8 and Output 53.6.9. Since the Type III SS are the highest-level SS produced by PROC GLM
by default, and since the HTYPE= option is not specified, the SSCP matrix for Site gives the Type III H
matrix. The diagonal elements of this matrix are the model sums of squares from the corresponding univariate
analyses.
Four multivariate tests are computed, all based on the characteristic roots and vectors of E 1 H. These roots
and vectors are displayed along with the tests. All four tests can be transformed to variates that have F
distributions under the null hypothesis. Note that the four tests all give the same results for the contrast, since
it has only one degree of freedom. In this case, the multivariate analysis matches the univariate results: there
is an overall difference between the chemical composition of samples from different sites, and the samples
from Llanederyn are different from the average of the other sites.

Output 53.6.8 Hypothesis SSCP Matrix and Multivariate Tests for Overall Site Effect
Romano-British Pottery

The GLM Procedure

Multivariate Analysis of Variance

H = Type III SSCP Matrix for Site

Al Fe Mg Ca Na
Al 175.61031868 -149.295533 -130.8097066 -5.889163736 -5.372264835
Fe -149.295533 134.22161582 117.74503516 4.8217865934 5.3259491209
Mg -130.8097066 117.74503516 103.35052703 4.2091613187 4.7105458242
Ca -5.889163736 4.8217865934 4.2091613187 0.2047027473 0.154782967
Na -5.372264835 5.3259491209 4.7105458242 0.154782967 0.2582456044
4190 F Chapter 53: The GLM Procedure

Output 53.6.8 continued

Characteristic Roots and Vectors of: E Inverse * H, where

H = Type III SSCP Matrix for Site
E = Error SSCP Matrix
Characteristic Vector V'EV=1
Characteristic
Root Percent Al Fe Mg Ca Na
34.1611140 96.39 0.09562211 -0.26330469 -0.05305978 -1.87982100 -0.47071123
1.2500994 3.53 0.02651891 -0.01239715 0.17564390 -4.25929785 1.23727668
0.0275396 0.08 0.09082220 0.13159869 0.03508901 -0.15701602 -1.39364544
0.0000000 0.00 0.03673984 -0.15129712 0.20455529 0.54624873 -0.17402107
0.0000000 0.00 0.06862324 0.03056912 -0.10662399 2.51151978 1.23668841

MANOVATest Criteria and F Approximations for the Hypothesis of No Overall Site Effect
H = Type III SSCP Matrix for Site
E = Error SSCP Matrix

S=3 M=0.5 N=8

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.01230091 13.09 15 50.091 <.0001
Pillai's Trace 1.55393619 4.30 15 60 <.0001
Hotelling-Lawley Trace 35.43875302 40.59 15 29.13 <.0001
Roy's Greatest Root 34.16111399 136.64 5 20 <.0001
NOTE: F Statistic for Roy's Greatest Root is an upper bound.

Output 53.6.9 Hypothesis SSCP Matrix and Multivariate Tests for Differences between Llanederyn and the
Other Sites
H = Contrast SSCP Matrix for Llanederyn vs. the rest
Al Fe Mg Ca Na
Al 58.583366402 -64.56230291 -57.57983466 -1.438395503 -3.698102513
Fe -64.56230291 71.151441323 63.456352116 1.5851961376 4.0755256878
Mg -57.57983466 63.456352116 56.593493386 1.4137558201 3.6347541005
Ca -1.438395503 1.5851961376 1.4137558201 0.0353168783 0.0907993915
Na -3.698102513 4.0755256878 3.6347541005 0.0907993915 0.2334444577

Characteristic Roots and Vectors of: E Inverse * H, where

H = Contrast SSCP Matrix for Llanederyn vs. the rest
E = Error SSCP Matrix
Characteristic Vector V'EV=1
Characteristic
Root Percent Al Fe Mg Ca Na
16.1251646 100.00 -0.08883488 0.25458141 0.08723574 0.98158668 0.71925759
0.0000000 0.00 -0.00503538 0.03825743 -0.17632854 5.16256699 -0.01022754
0.0000000 0.00 0.00162771 -0.08885364 -0.01774069 -0.83096817 2.17644566
0.0000000 0.00 0.04450136 -0.15722494 0.22156791 0.00000000 0.00000000
0.0000000 0.00 0.11939206 0.10833549 0.00000000 0.00000000 0.00000000
 Example 53.7: Repeated Measures Analysis of Variance F 4191

Output 53.6.9 continued

MANOVATest Criteria and Exact F Statistics for the Hypothesis of No Overall Llanederyn vs. the rest Effect
H = Contrast SSCP Matrix for Llanederyn vs. the rest
E = Error SSCP Matrix

S=1 M=1.5 N=8

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.05839360 58.05 5 18 <.0001
Pillai's Trace 0.94160640 58.05 5 18 <.0001
Hotelling-Lawley Trace 16.12516462 58.05 5 18 <.0001
Roy's Greatest Root 16.12516462 58.05 5 18 <.0001

Example 53.7: Repeated Measures Analysis of Variance

This example uses data from Cole and Grizzle (1966) to illustrate a commonly occurring repeated measures
ANOVA design. Sixteen dogs are randomly assigned to four groups. (One animal is removed from the
analysis due to a missing value for one dependent variable.) Dogs in each group receive either morphine or
trimethaphan (variable Drug) and have either depleted or intact histamine levels (variable Depleted) before
receiving the drugs. The dependent variable is the blood concentration of histamine at 0, 1, 3, and 5 minutes
after injection of the drug. Logarithms are applied to these concentrations to minimize correlation between
the mean and the variance of the data.
The following SAS statements perform both univariate and multivariate repeated measures analyses and
produce Output 53.7.1 through Output 53.7.7.

data dogs;
input Drug $12. Depleted $ Histamine0 Histamine1
Histamine3 Histamine5;
LogHistamine0=log(Histamine0);
LogHistamine1=log(Histamine1);
LogHistamine3=log(Histamine3);
LogHistamine5=log(Histamine5);
datalines;
Morphine N .04 .20 .10 .08
Morphine N .02 .06 .02 .02
Morphine N .07 1.40 .48 .24
Morphine N .17 .57 .35 .24
Morphine Y .10 .09 .13 .14
Morphine Y .12 .11 .10 .
Morphine Y .07 .07 .06 .07
Morphine Y .05 .07 .06 .07
Trimethaphan N .03 .62 .31 .22
Trimethaphan N .03 1.05 .73 .60
Trimethaphan N .07 .83 1.07 .80
Trimethaphan N .09 3.13 2.06 1.23
Trimethaphan Y .10 .09 .09 .08
Trimethaphan Y .08 .09 .09 .10
Trimethaphan Y .13 .10 .12 .12
Trimethaphan Y .06 .05 .05 .05
;
4192 F Chapter 53: The GLM Procedure

proc glm;
class Drug Depleted;
model LogHistamine0--LogHistamine5 =
Drug Depleted Drug*Depleted / nouni;
repeated Time 4 (0 1 3 5) polynomial / summary printe;
run;
The NOUNI option in the MODEL statement suppresses the individual ANOVA tables for the original
dependent variables. These analyses are usually of no interest in a repeated measures analysis. The
POLYNOMIAL option in the REPEATED statement indicates that the transformation used to implement the
repeated measures analysis is an orthogonal polynomial transformation, and the SUMMARY option requests
that the univariate analyses for the orthogonal polynomial contrast variables be displayed. The parenthetical
numbers (0 1 3 5) determine the spacing of the orthogonal polynomials used in the analysis.

Output 53.7.1 Summary Information about Groups

The GLM Procedure

Class Level Information

Class Levels Values
Drug 2 Morphine Trimethaphan
Depleted 2 NY

Number of Observations Read 16

Number of Observations Used 15

The “Repeated Measures Level Information” table gives information about the repeated measures effect; it is
displayed in Output 53.7.2. In this example, the within-subject (within-dog) effect is Time, which has the
levels 0, 1, 3, and 5.

Output 53.7.2 Repeated Measures Levels

The GLM Procedure
Repeated Measures Analysis of Variance

Repeated Measures Level Information

Dependent Variable LogHistamine0 LogHistamine1 LogHistamine3 LogHistamine5
Level of Time 0 1 3 5

The multivariate analyses for within-subject effects and related interactions are displayed in Output 53.7.3.
For the example, the first table displayed shows that the TIME effect is significant. In addition, the
Time*Drug*Depleted interaction is significant, as shown in the fourth table. This means that the effect of
Time on the blood concentration of histamine is different for the four Drug*Depleted combinations studied.
 Example 53.7: Repeated Measures Analysis of Variance F 4193

Output 53.7.3 Multivariate Tests of Within-Subject Effects

MANOVATest Criteria and Exact F Statistics for the Hypothesis of no Time Effect
H = Type III SSCP Matrix for Time
E = Error SSCP Matrix

S=1 M=0.5 N=3.5

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.11097706 24.03 3 9 0.0001
Pillai's Trace 0.88902294 24.03 3 9 0.0001
Hotelling-Lawley Trace 8.01087137 24.03 3 9 0.0001
Roy's Greatest Root 8.01087137 24.03 3 9 0.0001

MANOVATest Criteria and Exact F Statistics for the Hypothesis of no Time*Drug Effect
H = Type III SSCP Matrix for Time*Drug
E = Error SSCP Matrix

S=1 M=0.5 N=3.5

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.34155984 5.78 3 9 0.0175
Pillai's Trace 0.65844016 5.78 3 9 0.0175
Hotelling-Lawley Trace 1.92774470 5.78 3 9 0.0175
Roy's Greatest Root 1.92774470 5.78 3 9 0.0175

MANOVATest Criteria and Exact F Statistics for the Hypothesis of no Time*Depleted Effect
H = Type III SSCP Matrix for Time*Depleted
E = Error SSCP Matrix

S=1 M=0.5 N=3.5

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.12339988 21.31 3 9 0.0002
Pillai's Trace 0.87660012 21.31 3 9 0.0002
Hotelling-Lawley Trace 7.10373567 21.31 3 9 0.0002
Roy's Greatest Root 7.10373567 21.31 3 9 0.0002

MANOVATest Criteria and Exact F Statistics for the Hypothesis of no Time*Drug*Depleted Effect
H = Type III SSCP Matrix for Time*Drug*Depleted
E = Error SSCP Matrix

S=1 M=0.5 N=3.5

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.19383010 12.48 3 9 0.0015
Pillai's Trace 0.80616990 12.48 3 9 0.0015
Hotelling-Lawley Trace 4.15915732 12.48 3 9 0.0015
Roy's Greatest Root 4.15915732 12.48 3 9 0.0015

Output 53.7.4 displays tests of hypotheses for between-subject (between-dog) effects. This section tests
the hypotheses that the different Drugs, Depleteds, and their interactions have no effects on the dependent
variables, while ignoring the within-dog effects. From this analysis, there is a significant between-dog
effect for Depleted (p-value=0.0229). The interaction and the main effect for Drug are not significant
(p-values=0.1734 and 0.1281, respectively).
4194 F Chapter 53: The GLM Procedure

Output 53.7.4 Tests of Between-Subject Effects

The GLM Procedure
Repeated Measures Analysis of Variance
Tests of Hypotheses for Between Subjects Effects

Source DF Type III SS Mean Square F Value Pr > F

Drug 1 5.99336243 5.99336243 2.71 0.1281
Depleted 1 15.44840703 15.44840703 6.98 0.0229
Drug*Depleted 1 4.69087508 4.69087508 2.12 0.1734
Error 11 24.34683348 2.21334850

Univariate analyses for within-subject (within-dog) effects and related interactions are displayed in Out-
put 53.7.6. The results for this example are the same as for the multivariate analyses; this is not always
the case. In addition, before the univariate analyses are used to make conclusions about the data, the result
of the sphericity test (requested with the PRINTE option in the REPEATED statement and displayed in
Output 53.7.5) should be examined. If the sphericity test is rejected, consider using the adjusted G-G or
H-F-L probabilities. See the section “Repeated Measures Analysis of Variance” on page 4137 for more
information.
Output 53.7.5 Sphericity Test

Sphericity Tests
Mauchly's
Variables DF Criterion Chi-Square Pr > ChiSq
Transformed Variates 5 0.1752641 16.930873 0.0046
Orthogonal Components 5 0.1752641 16.930873 0.0046

Output 53.7.6 Univariate Tests of Within-Subject Effects

The GLM Procedure
Repeated Measures Analysis of Variance
Univariate Tests of Hypotheses for Within Subject Effects

Adj Pr > F
Source DF Type III SS Mean Square F Value Pr > F G - G H-F-L
Time 3 12.05898677 4.01966226 53.44 <.0001 <.0001 <.0001
Time*Drug 3 1.84429514 0.61476505 8.17 0.0003 0.0039 0.0023
Time*Depleted 3 12.08978557 4.02992852 53.57 <.0001 <.0001 <.0001
Time*Drug*Depleted 3 2.93077939 0.97692646 12.99 <.0001 0.0005 0.0002
Error(Time) 33 2.48238887 0.07522391

Greenhouse-Geisser Epsilon 0.5694

Huynh-Feldt-Lecoutre Epsilon 0.6636

Output 53.7.7 is produced by the SUMMARY option in the REPEATED statement. If the POLYNOMIAL
option is not used, a similar table is displayed using the default CONTRAST transformation. The linear,
quadratic, and cubic trends for Time, labeled as ‘Time_1’, ‘Time_2’, and ‘Time_3’, are displayed, and in
each case, the Source labeled ‘Mean’ gives a test for the respective trend.
 Example 53.8: Mixed Model Analysis of Variance with the RANDOM Statement F 4195

Output 53.7.7 Tests of Between-Subject Effects for Transformed Variables

The GLM Procedure
Repeated Measures Analysis of Variance
Analysis of Variance of Contrast Variables

Time_N represents the nth degree polynomial contrast for Time

Contrast Variable: Time_1

Source DF Type III SS Mean Square F Value Pr > F

Mean 1 2.00963483 2.00963483 34.99 0.0001
Drug 1 1.18069076 1.18069076 20.56 0.0009
Depleted 1 1.36172504 1.36172504 23.71 0.0005
Drug*Depleted 1 2.04346848 2.04346848 35.58 <.0001
Error 11 0.63171161 0.05742833

Contrast Variable: Time_2

Source DF Type III SS Mean Square F Value Pr > F

Mean 1 5.40988418 5.40988418 57.15 <.0001
Drug 1 0.59173192 0.59173192 6.25 0.0295
Depleted 1 5.94945506 5.94945506 62.86 <.0001
Drug*Depleted 1 0.67031587 0.67031587 7.08 0.0221
Error 11 1.04118707 0.09465337

Contrast Variable: Time_3

Source DF Type III SS Mean Square F Value Pr > F

Mean 1 4.63946776 4.63946776 63.04 <.0001
Drug 1 0.07187246 0.07187246 0.98 0.3443
Depleted 1 4.77860547 4.77860547 64.94 <.0001
Drug*Depleted 1 0.21699504 0.21699504 2.95 0.1139
Error 11 0.80949018 0.07359002

Example 53.8: Mixed Model Analysis of Variance with the RANDOM Statement
Milliken and Johnson (1984) present an example of an unbalanced mixed model. Three machines, which are
considered as a fixed effect, and six employees, which are considered a random effect, are studied. Each
employee operates each machine for either one, two, or three different times. The dependent variable is an
overall rating, which takes into account the number and quality of components produced.
The following statements form the data set and perform a mixed model analysis of variance by requesting the
TEST option in the RANDOM statement. Note that the machine*person interaction is declared as a random
effect; in general, when an interaction involves a random effect, it too should be declared as random. The
results of the analysis are shown in Output 53.8.1 through Output 53.8.4.

data machine;
input machine person rating @@;
datalines;
1 1 52.0 1 2 51.8 1 2 52.8 1 3 60.0 1 4 51.1 1 4 52.3 1 5 50.9
4196 F Chapter 53: The GLM Procedure

1 5 51.8 1 5 51.4 1 6 46.4 1 6 44.8 1 6 49.2 2 1 64.0 2 2 59.7

2 2 60.0 2 2 59.0 2 3 68.6 2 3 65.8 2 4 63.2 2 4 62.8 2 4 62.2
2 5 64.8 2 5 65.0 2 6 43.7 2 6 44.2 2 6 43.0 3 1 67.5 3 1 67.2
3 1 66.9 3 2 61.5 3 2 61.7 3 2 62.3 3 3 70.8 3 3 70.6 3 3 71.0
3 4 64.1 3 4 66.2 3 4 64.0 3 5 72.1 3 5 72.0 3 5 71.1 3 6 62.0
3 6 61.4 3 6 60.5
;

proc glm data=machine;

class machine person;
model rating=machine person machine*person;
random person machine*person / test;
run;
The TEST option in the RANDOM statement requests that PROC GLM determine the appropriate F tests
based on person and machine*person being treated as random effects. As you can see in Output 53.8.4,
this requires that a linear combination of mean squares be constructed to test both the machine and person
hypotheses; thus, F tests that use Satterthwaite approximations are needed.

Output 53.8.1 Summary Information about Groups

The GLM Procedure

Class Level Information

Class Levels Values
machine 3 123
person 6 123456

Number of Observations Read 44

Number of Observations Used 44

Output 53.8.2 Fixed-Effect Model Analysis of Variance

The GLM Procedure

Dependent Variable: rating

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 17 3061.743333 180.102549 206.41 <.0001
Error 26 22.686667 0.872564
Corrected Total 43 3084.430000

R-Square Coeff Var Root MSE rating Mean

0.992645 1.560754 0.934111 59.85000

Source DF Type I SS Mean Square F Value Pr > F

machine 2 1648.664722 824.332361 944.72 <.0001
person 5 1008.763583 201.752717 231.22 <.0001
machine*person 10 404.315028 40.431503 46.34 <.0001
 Example 53.8: Mixed Model Analysis of Variance with the RANDOM Statement F 4197

Output 53.8.2 continued

Source DF Type III SS Mean Square F Value Pr > F

machine 2 1238.197626 619.098813 709.52 <.0001
person 5 1011.053834 202.210767 231.74 <.0001
machine*person 10 404.315028 40.431503 46.34 <.0001

Output 53.8.3 Expected Values of Type III Mean Squares

Source Type III Expected Mean Square

machine Var(Error) + 2.137 Var(machine*person) + Q(machine)
person Var(Error) + 2.2408 Var(machine*person) + 6.7224 Var(person)
machine*person Var(Error) + 2.3162 Var(machine*person)

Output 53.8.4 Mixed Model Analysis of Variance

The GLM Procedure
Tests of Hypotheses for Mixed Model Analysis of Variance

Dependent Variable: rating

Source DF Type III SS Mean Square F Value Pr > F

machine 2 1238.197626 619.098813 16.57 0.0007
Error 10.036 375.057436 37.370384
Error: 0.9226*MS(machine*person) + 0.0774*MS(Error)

Source DF Type III SS Mean Square F Value Pr > F

person 5 1011.053834 202.210767 5.17 0.0133
Error 10.015 392.005726 39.143708
Error: 0.9674*MS(machine*person) + 0.0326*MS(Error)

Source DF Type III SS Mean Square F Value Pr > F

machine*person 10 404.315028 40.431503 46.34 <.0001
Error: MS(Error) 26 22.686667 0.872564

Note that you can also use the MIXED procedure to analyze mixed models. The following statements use
PROC MIXED to reproduce the mixed model analysis of variance; the relevant part of the PROC MIXED
results is shown in Output 53.8.5.

proc mixed data=machine method=type3;

class machine person;
model rating = machine;
random person machine*person;
run;
4198 F Chapter 53: The GLM Procedure

Output 53.8.5 PROC MIXED Mixed Model Analysis of Variance (Partial Output)
The Mixed Procedure

Type 3 Analysis of Variance

Sum of Mean Error
Source DF Squares Square Expected Mean Square Error Term DF
machine 2 1238.197626 619.098813 Var(Residual) + 2.137 0.9226 10.036
Var(machine*person) + Q(machine) MS(machine*person) + 0.0774
MS(Residual)
person 5 1011.053834 202.210767 Var(Residual) + 2.2408 0.9674 10.015
Var(machine*person) + 6.7224 MS(machine*person) + 0.0326
Var(person) MS(Residual)
machine*person 10 404.315028 40.431503 Var(Residual) + 2.3162 MS(Residual) 26
Var(machine*person)
Residual 26 22.686667 0.872564 Var(Residual) . .

Type 3 Analysis of Variance

F
Source Value Pr > F
machine 16.57 0.0007

person 5.17 0.0133

machine*person 46.34 <.0001

Residual . .

The advantage of PROC MIXED is that it offers more versatility for mixed models; the disadvantage is that it
can be less computationally efficient for large data sets. See Chapter 84, “The MIXED Procedure,” for more
details.

Example 53.9: Analyzing a Doubly Multivariate Repeated Measures Design

This example shows how to analyze a doubly multivariate repeated measures design by using PROC GLM
with an IDENTITY factor in the REPEATED statement. Note that this differs from previous releases of
PROC GLM, in which you had to use a MANOVA statement to get a doubly repeated measures analysis.
Two responses, Y1 and Y2, are each measured three times for each subject (pretreatment, posttreatment, and
in a later follow-up). Each subject receives one of three treatments; A, B, or the control. In PROC GLM, you
use a REPEATED factor of type IDENTITY to identify the different responses and another repeated factor to
identify the different measurement times. The repeated measures analysis includes multivariate tests for time
and treatment main effects, as well as their interactions, across responses. The following statements produce
Output 53.9.1 through Output 53.9.3.

options ls=96;
data Trial;
input Treatment $ Repetition PreY1 PostY1 FollowY1
PreY2 PostY2 FollowY2;
datalines;
 Example 53.9: Analyzing a Doubly Multivariate Repeated Measures Design F 4199

A 1 3 13 9 0 0 9
A 2 0 14 10 6 6 3
A 3 4 6 17 8 2 6
A 4 7 7 13 7 6 4
A 5 3 12 11 6 12 6
A 6 10 14 8 13 3 8
B 1 9 11 17 8 11 27
B 2 4 16 13 9 3 26
B 3 8 10 9 12 0 18
B 4 5 9 13 3 0 14
B 5 0 15 11 3 0 25
B 6 4 11 14 4 2 9
Control 1 10 12 15 4 3 7
Control 2 2 8 12 8 7 20
Control 3 4 9 10 2 0 10
Control 4 10 8 8 5 8 14
Control 5 11 11 11 1 0 11
Control 6 1 5 15 8 9 10
;

proc glm data=Trial;

class Treatment;
model PreY1 PostY1 FollowY1
PreY2 PostY2 FollowY2 = Treatment / nouni;
repeated Response 2 identity, Time 3;
run;

Output 53.9.1 A Doubly Multivariate Repeated Measures Design

The GLM Procedure

Class Level Information

Class Levels Values
Treatment 3 A B Control

Number of Observations Read 18

Number of Observations Used 18

The levels of the repeated factors are displayed in Output 53.9.2. Note that RESPONSE is 1 for all the Y1
measurements and 2 for all the Y2 measurements, while the three levels of Time identify the pretreatment,
posttreatment, and follow-up measurements within each response. The multivariate tests for within-subject
effects are displayed in Output 53.9.3.

Output 53.9.2 Repeated Factor Levels

The GLM Procedure
Repeated Measures Analysis of Variance

Repeated Measures Level Information

Dependent Variable PreY1 PostY1 FollowY1 PreY2 PostY2 FollowY2
Level of Response 1 1 1 2 2 2
Level of Time 1 2 3 1 2 3
4200 F Chapter 53: The GLM Procedure

Output 53.9.3 Within-Subject Tests

MANOVATest Criteria and Exact F Statistics for the Hypothesis of no Response Effect
H = Type III SSCP Matrix for Response
E = Error SSCP Matrix

S=1 M=0 N=6

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.02165587 316.24 2 14 <.0001
Pillai's Trace 0.97834413 316.24 2 14 <.0001
Hotelling-Lawley Trace 45.17686368 316.24 2 14 <.0001
Roy's Greatest Root 45.17686368 316.24 2 14 <.0001

MANOVATest Criteria and F Approximations for the Hypothesis of no Response*Treatment Effect

H = Type III SSCP Matrix for Response*Treatment
E = Error SSCP Matrix

S=2 M=-0.5 N=6

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.72215797 1.24 4 28 0.3178
Pillai's Trace 0.27937444 1.22 4 30 0.3240
Hotelling-Lawley Trace 0.38261660 1.31 4 15.818 0.3074
Roy's Greatest Root 0.37698780 2.83 2 15 0.0908
NOTE: F Statistic for Roy's Greatest Root is an upper bound.
NOTE: F Statistic for Wilks' Lambda is exact.

MANOVATest Criteria and Exact F Statistics for the Hypothesis of no Response*Time Effect
H = Type III SSCP Matrix for Response*Time
E = Error SSCP Matrix

S=1 M=1 N=5

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.14071380 18.32 4 12 <.0001
Pillai's Trace 0.85928620 18.32 4 12 <.0001
Hotelling-Lawley Trace 6.10662362 18.32 4 12 <.0001
Roy's Greatest Root 6.10662362 18.32 4 12 <.0001

MANOVATest Criteria and F Approximations for the Hypothesis of no Response*Time*Treatment Effect

H = Type III SSCP Matrix for Response*Time*Treatment
E = Error SSCP Matrix

S=2 M=0.5 N=5

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.22861451 3.27 8 24 0.0115
Pillai's Trace 0.96538785 3.03 8 26 0.0151
Hotelling-Lawley Trace 2.52557514 3.64 8 15 0.0149
Roy's Greatest Root 2.12651905 6.91 4 13 0.0033
NOTE: F Statistic for Roy's Greatest Root is an upper bound.
NOTE: F Statistic for Wilks' Lambda is exact.

The table for Response*Treatment tests for an overall treatment effect across the two responses; likewise,
the tables for Response*Time and Response*Treatment*Time test for time and the treatment-by-time
interaction, respectively. In this case, there is a strong main effect for time and possibly for the interaction,
but not for treatment.
 Example 53.9: Analyzing a Doubly Multivariate Repeated Measures Design F 4201

In previous releases (before the IDENTITY transformation was introduced), in order to perform a doubly
repeated measures analysis, you had to use a MANOVA statement with a customized transformation matrix
M. You might still want to use this approach to see details of the analysis, such as the univariate ANOVA
for each transformed variate. The following statements demonstrate this approach by using the MANOVA
statement to test for the overall main effect of time and specifying the SUMMARY option.

proc glm data=Trial;

class Treatment;
model PreY1 PostY1 FollowY1
PreY2 PostY2 FollowY2 = Treatment / nouni;
manova h=intercept m=prey1 - posty1,
prey1 - followy1,
prey2 - posty2,
prey2 - followy2 / summary;
run;
The M matrix used to perform the test for time effects is displayed in Output 53.9.4, while the results of the
multivariate test are given in Output 53.9.5. Note that the test results are the same as for the Response*Time
effect in Output 53.9.3.

Output 53.9.4 M Matrix to Test for Time Effect (Repeated Measure)

The GLM Procedure
Multivariate Analysis of Variance

M Matrix Describing Transformed Variables

PreY1 PostY1 FollowY1 PreY2 PostY2 FollowY2
MVAR1 1 -1 0 0 0 0
MVAR2 1 0 -1 0 0 0
MVAR3 0 0 0 1 -1 0
MVAR4 0 0 0 1 0 -1

Output 53.9.5 Tests for Time Effect (Repeated Measure)

The GLM Procedure
Multivariate Analysis of Variance

Characteristic Roots and Vectors of: E Inverse * H, where

H = Type III SSCP Matrix for Intercept
E = Error SSCP Matrix

Variables have been transformed by the M Matrix

Characteristic Vector V'EV=1
Characteristic
Root Percent MVAR1 MVAR2 MVAR3 MVAR4
6.10662362 100.00 -0.00157729 0.04081620 -0.04210209 0.03519437
0.00000000 0.00 0.00796367 0.00493217 0.05185236 0.00377940
0.00000000 0.00 -0.03534089 -0.01502146 -0.00283074 0.04259372
0.00000000 0.00 -0.05672137 0.04500208 0.00000000 0.00000000
4202 F Chapter 53: The GLM Procedure

Output 53.9.5 continued

MANOVATest Criteria and Exact F Statistics for the Hypothesis of No Overall Intercept Effect
on the Variables Defined by the M Matrix Transformation
H = Type III SSCP Matrix for Intercept
E = Error SSCP Matrix

S=1 M=1 N=5

Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.14071380 18.32 4 12 <.0001
Pillai's Trace 0.85928620 18.32 4 12 <.0001
Hotelling-Lawley Trace 6.10662362 18.32 4 12 <.0001
Roy's Greatest Root 6.10662362 18.32 4 12 <.0001

The SUMMARY option in the MANOVA statement creates an ANOVA table for each transformed variable
as defined by the M matrix. MVAR1 and MVAR2 contrast the pretreatment measurement for Y1 with the
posttreatment and follow-up measurements for Y1, respectively; MVAR3 and MVAR4 are the same contrasts
for Y2. Output 53.9.6 displays these univariate ANOVA tables and shows that the contrasts are all strongly
significant except for the pre-versus-post difference for Y2.

Output 53.9.6 Summary Output for the Test for Time Effect
The GLM Procedure
Multivariate Analysis of Variance

Dependent Variable: MVAR1

Source DF Type III SS Mean Square F Value Pr > F

Intercept 1 512.0000000 512.0000000 22.65 0.0003
Error 15 339.0000000 22.6000000

The GLM Procedure

Multivariate Analysis of Variance

Dependent Variable: MVAR2

Source DF Type III SS Mean Square F Value Pr > F

Intercept 1 813.3888889 813.3888889 32.87 <.0001
Error 15 371.1666667 24.7444444

The GLM Procedure

Multivariate Analysis of Variance

Dependent Variable: MVAR3

Source DF Type III SS Mean Square F Value Pr > F

Intercept 1 68.0555556 68.0555556 3.49 0.0814
Error 15 292.5000000 19.5000000
 Example 53.10: Testing for Equal Group Variances F 4203

Output 53.9.6 continued

The GLM Procedure
Multivariate Analysis of Variance

Dependent Variable: MVAR4

Source DF Type III SS Mean Square F Value Pr > F

Intercept 1 800.0000000 800.0000000 26.43 0.0001
Error 15 454.0000000 30.2666667

Example 53.10: Testing for Equal Group Variances

This example demonstrates how you can test for equal group variances in a one-way design. The data come
from the University of Pennsylvania Smell Identification Test (UPSIT), reported in O’Brien and Heft (1995).
The study is undertaken to explore how age and gender are related to sense of smell. A total of 180 subjects
20 to 89 years old are exposed to 40 different odors: for each odor, subjects are asked to choose which of
four words best describes the odor. The Freeman-Tukey modified arcsine transformation (Bishop, Fienberg,
and Holland 1975) is applied to the proportion of correctly identified odors to arrive at an olfactory index.
For the following analysis, subjects are divided into five age groups:
8
ˆ
ˆ 1 if age  25
< 2 if 25 < age  40
ˆ
ˆ
agegroup D 3 if 40 < age  55
4 if 55 < age  70
ˆ
ˆ
ˆ
ˆ
5 if 70 <
:
age

The following statements create a data set named upsit, containing the age group and olfactory index for each
subject.

data upsit;
input agegroup smell @@;
datalines;
1 1.381 1 1.322 1 1.162 1 1.275 1 1.381 1 1.275 1 1.322
1 1.492 1 1.322 1 1.381 1 1.162 1 1.013 1 1.322 1 1.322
1 1.275 1 1.492 1 1.322 1 1.322 1 1.492 1 1.322 1 1.381
1 1.234 1 1.162 1 1.381 1 1.381 1 1.381 1 1.322 1 1.381
1 1.322 1 1.381 1 1.275 1 1.492 1 1.275 1 1.322 1 1.275
1 1.381 1 1.234 1 1.105
2 1.234 2 1.234 2 1.381 2 1.322 2 1.492 2 1.234 2 1.381
2 1.381 2 1.492 2 1.492 2 1.275 2 1.492 2 1.381 2 1.492
2 1.322 2 1.275 2 1.275 2 1.275 2 1.322 2 1.492 2 1.381
2 1.322 2 1.492 2 1.196 2 1.322 2 1.275 2 1.234 2 1.322
2 1.098 2 1.322 2 1.381 2 1.275 2 1.492 2 1.492 2 1.381
2 1.196
3 1.381 3 1.381 3 1.492 3 1.492 3 1.492 3 1.098 3 1.492
3 1.381 3 1.234 3 1.234 3 1.129 3 1.069 3 1.234 3 1.322
3 1.275 3 1.230 3 1.234 3 1.234 3 1.322 3 1.322 3 1.381
4 1.322 4 1.381 4 1.381 4 1.322 4 1.234 4 1.234 4 1.234
4 1.381 4 1.322 4 1.275 4 1.275 4 1.492 4 1.234 4 1.098
4204 F Chapter 53: The GLM Procedure

4 1.322 4 1.129 4 0.687 4 1.322 4 1.322 4 1.234 4 1.129

4 1.492 4 0.810 4 1.234 4 1.381 4 1.040 4 1.381 4 1.381
4 1.129 4 1.492 4 1.129 4 1.098 4 1.275 4 1.322 4 1.234
4 1.196 4 1.234 4 0.585 4 0.785 4 1.275 4 1.322 4 0.712
4 0.810
5 1.322 5 1.234 5 1.381 5 1.275 5 1.275 5 1.322 5 1.162
5 0.909 5 0.502 5 1.234 5 1.322 5 1.196 5 0.859 5 1.196
5 1.381 5 1.322 5 1.234 5 1.275 5 1.162 5 1.162 5 0.585
5 1.013 5 0.960 5 0.662 5 1.129 5 0.531 5 1.162 5 0.737
5 1.098 5 1.162 5 1.040 5 0.558 5 0.960 5 1.098 5 0.884
5 1.162 5 1.098 5 0.859 5 1.275 5 1.162 5 0.785 5 0.859
;
Older people are more at risk for problems with their sense of smell, and this should be reflected in significant
differences in the mean of the olfactory index across the different age groups. However, many older people
also have an excellent sense of smell, which implies that the older age groups should have greater variability.
In order to test this hypothesis and to compute a one-way ANOVA for the olfactory index that is robust to
the possibility of unequal group variances, you can use the HOVTEST and WELCH options in the MEANS
statement for the GLM procedure, as shown in the following statements.

proc glm data=upsit;

class agegroup;
model smell = agegroup;
means agegroup / hovtest welch;
run;
Output 53.10.1, Output 53.10.2, and Output 53.10.3 display the usual ANOVA test for equal age group
means, Levene’s test for equal age group variances, and Welch’s test for equal age group means, respectively.
The hypotheses of age effects for mean and variance of the olfactory index are both confirmed.

Output 53.10.1 Usual ANOVA Test for Age Group Differences in Mean Olfactory Index
The GLM Procedure

Dependent Variable: smell

Source DF Type III SS Mean Square F Value Pr > F

agegroup 4 2.13878141 0.53469535 16.65 <.0001

Output 53.10.2 Levene’s Test for Age Group Differences in Olfactory Variability
The GLM Procedure

Levene's Test for Homogeneity of smell Variance

ANOVA of Squared Deviations from Group Means
Sum of Mean
Source DF Squares Square F Value Pr > F
agegroup 4 0.0799 0.0200 6.35 <.0001
Error 175 0.5503 0.00314
 Example 53.10: Testing for Equal Group Variances F 4205

Output 53.10.3 Welch’s Test for Age Group Differences in Mean Olfactory Index

Welch's ANOVA for smell

Source DF F Value Pr > F
agegroup 4.0000 13.72 <.0001
Error 78.7489

As discussed in “Homogeneity of Variance in One-Way Models” on page 4131, Levene’s test or any other test
for homogeneity of variance should not be used as a diagnostic for the assumption of equal group variances
that underlies the usual analysis of variance. However, graphical diagnostics can be a useful informal tool for
monitoring whether your data meet the assumptions of a GLM analysis. The following statements perform a
one-way ANOVA as before, but with ODS Graphics enabled. In addition to the box plot that is produced
by default, the PLOTS=DIAGNOSTICS option requests a panel of summary diagnostics for the fit. These
additional plots are shown in Output 53.10.4 and Output 53.10.5.

ods graphics on;

proc glm data=upsit plot=diagnostics;
class agegroup;
model smell = agegroup;
run;
ods graphics off;
4206 F Chapter 53: The GLM Procedure

Output 53.10.4 Box Plot of Olfactory Index by Age Group

 Example 53.10: Testing for Equal Group Variances F 4207

Output 53.10.5 Diagnostics for One-Way ANOVA of Olfactory Index by Age Group

Output 53.10.4 clearly shows different degrees of variability for olfactory index within different age groups,
with the variability generally rising with age. Likewise, several of the plots in the diagnostics panel shown in
Output 53.10.5 indicate a relationship between olfactory variability and mean olfactory index. Also, note that
the plot of Cook’s D statistic indicates that observations in the higher, more variable age groups are overly
influential on the analysis of group means. The overall inference from these plots is that an assumption of
equal group variances is probably untenable and that the analysis of the group means should thus take this
into account.
4208 F Chapter 53: The GLM Procedure

Example 53.11: Analysis of a Screening Design

Yin and Jillie (1987) describe an experiment performed on a nitride etch process for a single wafer plasma
etcher. The experiment is run using four factors: cathode power (power), gas flow (flow), reactor chamber
pressure (pressure), and electrode gap (gap). Of interest are the main effects and interaction effects of the
factors on the nitride etch rate (rate). The following statements create a SAS data set named HalfFraction,
containing the factor settings and the observed etch rate for each of eight experimental runs.

data HalfFraction;
input power flow pressure gap rate;
datalines;
0.8 4.5 125 275 550
0.8 4.5 200 325 650
0.8 550.0 125 325 642
0.8 550.0 200 275 601
1.2 4.5 125 325 749
1.2 4.5 200 275 1052
1.2 550.0 125 275 1075
1.2 550.0 200 325 729
;
Notice that each of the factors has just two values. This is a common experimental design when the intent
is to screen from the many factors that might affect the response the few that actually do. Since there are
24 D 16 different possible settings of four two-level factors, this design with only eight runs is called a “half
fraction.” The eight runs are chosen specifically to provide unambiguous information on main effects at the
cost of confounding interaction effects with each other.
One way to analyze these data is simply to use PROC GLM to compute an analysis of variance, including
both main effects and interactions in the model. The following statements demonstrate this approach.

proc glm data=HalfFraction;

class power flow pressure gap;
model rate=power|flow|pressure|gap@2;
run;
The “@2” notation in the MODEL statement includes all main effects and two-factor interactions between the
factors. The output is shown in Output 53.11.1.

Output 53.11.1 Analysis of Variance for Nitride Etch Process Half Fraction
The GLM Procedure

Class Level Information

Class Levels Values
power 2 0.8 1.2
flow 2 4.5 550
pressure 2 125 200
gap 2 275 325

Number of Observations Read 8

Number of Observations Used 8
 Example 53.11: Analysis of a Screening Design F 4209

Output 53.11.1 continued

The GLM Procedure

Dependent Variable: rate

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 7 280848.0000 40121.1429 . .
Error 0 0.0000 .
Corrected Total 7 280848.0000

R-Square Coeff Var Root MSE rate Mean

1.000000 . . 756.0000

Source DF Type I SS Mean Square F Value Pr > F

power 1 168780.5000 168780.5000 . .
flow 1 264.5000 264.5000 . .
power*flow 1 200.0000 200.0000 . .
pressure 1 32.0000 32.0000 . .
power*pressure 1 1300.5000 1300.5000 . .
flow*pressure 1 78012.5000 78012.5000 . .
gap 1 32258.0000 32258.0000 . .
power*gap 0 0.0000 . . .
flow*gap 0 0.0000 . . .
pressure*gap 0 0.0000 . . .

Source DF Type III SS Mean Square F Value Pr > F

power 1 168780.5000 168780.5000 . .
flow 1 264.5000 264.5000 . .
power*flow 0 0.0000 . . .
pressure 1 32.0000 32.0000 . .
power*pressure 0 0.0000 . . .
flow*pressure 0 0.0000 . . .
gap 1 32258.0000 32258.0000 . .
power*gap 0 0.0000 . . .
flow*gap 0 0.0000 . . .
pressure*gap 0 0.0000 . . .

Notice that there are no error degrees of freedom. This is because there are 10 effects in the model (4
main effects plus 6 interactions) but only 8 observations in the data set. This is another cost of using a
fractional design: not only is it impossible to estimate all the main effects and interactions, but there is also
no information left to estimate the underlying error rate in order to measure the significance of the effects
that are estimable.
Another thing to notice in Output 53.11.1 is the difference between the Type I and Type III ANOVA tables.
The rows corresponding to main effects in each are the same, but no Type III interaction tests are estimable,
while some Type I interaction tests are estimable. This indicates that there is aliasing in the design: some
interactions are completely confounded with each other.
In order to analyze this confounding, you should examine the aliasing structure of the design by using the
ALIASING option in the MODEL statement. Before doing so, however, it is advisable to code the design,
4210 F Chapter 53: The GLM Procedure

replacing low and high levels of each factor with the values –1 and +1, respectively. This puts each factor
on an equal footing in the model and makes the aliasing structure much more interpretable. The following
statements code the data, creating a new data set named Coded.

data Coded; set HalfFraction;

power = -1*(power =0.80) + 1*(power =1.20);
flow = -1*(flow =4.50) + 1*(flow =550 );
pressure = -1*(pressure=125 ) + 1*(pressure=200 );
gap = -1*(gap =275 ) + 1*(gap =325 );
run;
The following statements use the GLM procedure to reanalyze the coded design, displaying the parameter
estimates as well as the functions of the parameters that they each estimate.

proc glm data=Coded;

model rate=power|flow|pressure|gap@2 / solution aliasing;
run;
The parameter estimates table is shown in Output 53.11.2.

Output 53.11.2 Parameter Estimates and Aliases for Nitride Etch Process Half Fraction
The GLM Procedure

Dependent Variable: rate

Standard
Parameter Estimate Error t Value Pr > |t| Expected Value
Intercept 756.0000000 . . . Intercept
power 145.2500000 . . . power
flow 5.7500000 . . . flow
power*flow -5.0000000 B . . . power*flow + pressure*gap
pressure 2.0000000 . . . pressure
power*pressure -12.7500000 B . . . power*pressure + flow*gap
flow*pressure -98.7500000 B . . . flow*pressure + power*gap
gap -63.5000000 . . . gap
power*gap 0.0000000 B . . .
flow*gap 0.0000000 B . . .
pressure*gap 0.0000000 B . . .

In the “Expected Value” column, notice that, while each of the main effects is unambiguously estimated by
its associated term in the model, the expected values of the interaction estimates are more complicated. For
example, the relatively large effect (–98.75) corresponding to flow*pressure actually estimates the combined
effect of flow*pressure and power*gap. Without further information, it is impossible to disentangle these
aliased interactions; however, since the main effects of both power and gap are large and those for flow and
pressure are small, it is reasonable to suspect that power*gap is the more “active” of the two interactions.

Fortunately, eight more runs are available for this experiment (the other half fraction). The following
statements create a data set containing these extra runs and add it to the previous eight, resulting in a full
24 D 16 run replicate. Then PROC GLM displays the analysis of variance again.
 Example 53.11: Analysis of a Screening Design F 4211

data OtherHalf;
input power flow pressure gap rate;
datalines;
0.8 4.5 125 325 669
0.8 4.5 200 275 604
0.8 550.0 125 275 633
0.8 550.0 200 325 635
1.2 4.5 125 275 1037
1.2 4.5 200 325 868
1.2 550.0 125 325 860
1.2 550.0 200 275 1063
;
data FullRep;
set HalfFraction OtherHalf;
run;

proc glm data=FullRep;

class power flow pressure gap;
model rate=power|flow|pressure|gap@2;
run;
The results are displayed in Output 53.11.3.

Output 53.11.3 Analysis of Variance for Nitride Etch Process Full Replicate
The GLM Procedure

Class Level Information

Class Levels Values
power 2 0.8 1.2
flow 2 4.5 550
pressure 2 125 200
gap 2 275 325

Number of Observations Read 16

Number of Observations Used 16

The GLM Procedure

Dependent Variable: rate

Sum of
Source DF Squares Mean Square F Value Pr > F
Model 10 521234.1250 52123.4125 25.58 0.0011
Error 5 10186.8125 2037.3625
Corrected Total 15 531420.9375

R-Square Coeff Var Root MSE rate Mean

0.980831 5.816175 45.13715 776.0625
4212 F Chapter 53: The GLM Procedure

Output 53.11.3 continued

Source DF Type I SS Mean Square F Value Pr > F

power 1 374850.0625 374850.0625 183.99 <.0001
flow 1 217.5625 217.5625 0.11 0.7571
power*flow 1 18.0625 18.0625 0.01 0.9286
pressure 1 10.5625 10.5625 0.01 0.9454
power*pressure 1 1.5625 1.5625 0.00 0.9790
flow*pressure 1 7700.0625 7700.0625 3.78 0.1095
gap 1 41310.5625 41310.5625 20.28 0.0064
power*gap 1 94402.5625 94402.5625 46.34 0.0010
flow*gap 1 2475.0625 2475.0625 1.21 0.3206
pressure*gap 1 248.0625 248.0625 0.12 0.7414

Source DF Type III SS Mean Square F Value Pr > F

power 1 374850.0625 374850.0625 183.99 <.0001
flow 1 217.5625 217.5625 0.11 0.7571
power*flow 1 18.0625 18.0625 0.01 0.9286
pressure 1 10.5625 10.5625 0.01 0.9454
power*pressure 1 1.5625 1.5625 0.00 0.9790
flow*pressure 1 7700.0625 7700.0625 3.78 0.1095
gap 1 41310.5625 41310.5625 20.28 0.0064
power*gap 1 94402.5625 94402.5625 46.34 0.0010
flow*gap 1 2475.0625 2475.0625 1.21 0.3206
pressure*gap 1 248.0625 248.0625 0.12 0.7414

With 16 runs, the analysis of variance tells the whole story: all effects are estimable and there are five degrees
of freedom left over to estimate the underlying error. The main effects of power and gap and their interaction
are all significant, and no other effects are. Notice that the Type I and Type III ANOVA tables are the same;
this is because the design is orthogonal and all effects are estimable.
This example illustrates the use of the GLM procedure for the model analysis of a screening experiment.
Typically, there is much more involved in performing an experiment of this type, from selecting the design
points to be studied to graphically assessing significant effects, optimizing the final model, and performing
subsequent experimentation. Specialized tools for this are available in SAS/QC software, in particular the
ADX Interface and the FACTEX and OPTEX procedures. See SAS/QC User’s Guide for more information.

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