*
* Example 11.6 from pages 236-237
* Groupwise Heteroscedasticity
*
open data tablef7-1[1].txt
calendar(panelobs=15) 1970
data(format=prn,org=columns) 1//1970:01 6//1984:01 id time c q pf lf
*
set logc = log(c)
set logq = log(q)
set logpf = log(pf)
*
set f2 = id==2
set f3 = id==3
set f4 = id==4
set f5 = id==5
set f6 = id==6
*
linreg logc / resids
# constant logpf lf logq f2 f3 f4 f5 f6
compute loglols=%logl
*
* ML by iterating on the calculation of the variance series. With this structure,
* the group variances can be computed easily using the PANEL instruction with the
* SPREADS option.
*
do iters=1,10
   panel(spreads=firmvar) resids
   linreg(spread=firmvar,noprint) logc / resids
   # constant logpf lf logq f2 f3 f4 f5 f6
end do iters
*
* Do a final estimation of the WLS estimator, this time printing the output.
*
linreg(spread=firmvar) logc / resids
# constant logpf lf logq f2 f3 f4 f5 f6
compute loglwls=%logl
*
cdf(title="Test of Homoscedasticity") chisqr -2*(loglols-loglwls) 5