alpha语句
proc reg data=origianl;
ods output nobs=a anova=b fitstatistics=c parameterestimates=d;
model y=x1;
by co;
quit;
data final;
set a(where=(Label="Number of Observations Read") keep=co Label N);
set b(where=(Source="Model") keep=source FValue);
set c(where=(Label2="Adj R-Sq") keep=Label2 nValue2 rename=(nValue2=adj_R_sq));
set d(where=(Variable="Intercept") keep=Variable Estimate tValue Probt rename=(Estimate=alpha tValue=t_alpha Probt=p_alpha));
set d(where=(Variable="X1") keep=Variable Estimate tValue Probt rename=(Estimate=beta1 tValue=t_beta1 Probt=p_beta1));
drop Label Source Label2 Variable;
run;

Newey-west是1987年就出来的方法，在spss里有自带程序。用sas是可以做到的，语句：
Proc model data=original;
  Param b0 b1;
  y=b0+b1*x1;
  fit y/gmm kernel=(bart,1, lnM/lnT);
  instruments x1;
by co;
run;