*
* HETEROTEST.RPF
* RATS Version 8, User's Guide, Example 3.1.
*
open data states.wks
data(org=obs,format=wks) 1 50 expend pcaid pop pcinc
set pcexp = expend/pop
linreg pcexp / resids
# constant pcaid pcinc
*
* Goldfeld-Quandt Test. The first 22 and last 22 are included in the two
* halves, with the middle 6 omitted.
*
order(ranks=popr) pop
linreg(smpl=popr<=22) pcexp
# constant pcaid pcinc
compute rss1=%rss,ndf1=%ndf
linreg(smpl=popr>=29) pcexp
# constant pcaid pcinc
compute rss2=%rss,ndf2=%ndf
*
compute fstat=(rss2/ndf2)/(rss1/ndf1)
cdf(title="Goldfeld-Quandt Test")  ftest fstat ndf2 ndf1
*
* Breusch-Pagan Tests, with POP and log(POP)
*
set ressqr = resids^2
set logpop = log(pop)
*
linreg(noprint) ressqr
# constant pop
cdf(title="Breusch-Pagan Test (Levels)") chisqr %trsquared 1
linreg(noprint) ressqr
# constant logpop
cdf(title="Breusch-Pagan Test (Logs)") chisqr %trsquared 1
*
* Harvey test
*
set logusq = log(ressqr)
linreg(noprint) logusq
# constant logpop
cdf(title="Harvey Test") chisqr %trsquared 1