Is there a way to compare multiple means using the MEANS analytic option in SDA?
Yes. There are ways to compare multiple means (k-1 comparisons) using the Comparison of MEANS program in SDA.
In the MEANS program there are different options when selecting the main statistic to display. The default setting is to just display the means of the dependent variable against the Row categories. However, the differences from a ROW category option allows you to choose a base category, and the results for each of the other row cells shows the difference between that cell and the base row category cell. The above selection along with the z/t-statistic and p-value options produces (k-1) comparisons of means or proportions from a single table run.
Alternatively in a two-way classification, if your MEANS analysis includes an optional COLUMN variable, you can choose to display the results as differences from a COLUMN (or ROW) category. This option allows you to choose a base column category and the results for each of the other column cells show the difference between that cell and the base column category cell.
NOTE: The computing in the R-DAS analysis system is equivalent to the Frequencies/Crosstabulation program module in SDA It is not possible to perform a k-1 means or proportions comparison using the R-DAS or SDA Frequencies/Crosstabulation program, while it is possible to perform a test of homogeneity of row (or column) percents for a two-way table. There is a separate FAQ on How to compare multiple proportions or percentages using the Frequencies/Crosstabulation program in the R-DAS?
NOTE: In multiple comparisons testing, there are k(k-1)/2 differences of means or proportions being compared from k populations (or subpopulations or subgroups). In a single run the MEANS program enables us to simultaneously test the differences of (k-1) pair of means from a base category of a k category classification variable. So you will have k(k-1)/2 distinct comparison tests after choosing a different base category each time from (k-1) separate MEANS program runs. For a Row variable with k=4 levels (say, A, B, C and D), you will obtain 6 tests of difference of means (i.e., B-A, C-A, D-A for base reference A, C-B, D-B for base reference B and D-C for base reference C) from 3 (=4-1) separate MEANS program run when A, B, and C are used as base categories respectively.
Additional information on using the "Main statistic to display" option in the MEANS program can be found here: http://www.icpsr.umich.edu/SDAHELP/helpan.htm#mstats