I need to set look up column that uses another column in another site collection.  Is this feature available in SharePoint 2013?

No, SharePoint doesn't do lookup columns in a different site collection, at least not out of the box.

Hi,

According to your post, my understanding is that you wanted to get lookup values from another site collection.

I recommend to use rest service to get the values form the other site collections, and then set the values to the lookup column.

Here is a similar blog for your reference:
http://www.hamishking.com/2010/07/16/referencing-lists-from-external-site-collections-cross-site-collection-lookup-with-rest-and-the-dvwp/

In addition, you can do a cross site collection look up and populate it as a dropdown control in your SharePoint application using JQuery.

For more information, you can refer to:
http://www.sharepointfix.com/2010/11/cross-site-collection-dropdown-look-up.html

More information:
Cross-site Lookup Column for SharePoint 2013 and SharePoint Online in Office 365 - CodeProject

Best Regards,

Wendy