*
* NPREG.RPF
* RATS Version 8, User's Guide, Example 13.1
* Adapted from Pagan and Ullah, Nonparametric Econometrics, pp 248-249.
*
open data travel.csv
data(format=prn,org=columns) 1 51 pop income exptrav
*
linreg exptrav / resids
# constant income
*
* Assumed scedastic function is pop^2
*
set popsq = pop^2
linreg(spread=popsq) exptrav
# constant income
*
* Nonparametric estimator
*
set ressqr = resids^2
npreg(grid=input,type=gaussian) ressqr pop / pop vpopnp
linreg(spread=vpopnp,title="Semiparametric Weighted Least Squares") exptrav
# constant income
*
* Parametric estimates of alternative scedastic functions
*
linreg ressqr
# popsq
prj vpopsq
linreg ressqr
# constant pop popsq
prj vpopquad
*
* The data set is already sorted by pop, so style=lines will work
*
scatter(style=lines) 3
# pop vpopsq
# pop vpopquad
# pop vpopnp
*
* This reveals that a big problem is one truly massive outlier
*
scatter(style=lines,overlay=dots,ovsame) 4
# pop vpopsq
# pop vpopquad
# pop vpopnp
# pop ressqr